Are there any known examples of Lie algebras $\mathfrak{g}$ such $H_*(\mathfrak{g})=0$ for all $*>0?$ Better still are there such algebras that this condition holds for arbitrary coefficient modules and not just for the trivial one?
I think the universal enveloping algebra of $\mathfrak{g}$ should be semisimple. Outside of this, I don't know anything. I don't know even how to start answering the question.
Edit: Correcting the initial ambiguity of my question, I assume that $\mathfrak{g}$ is finite dimensional.
If $\mathfrak{g}$ has dimension $n<\infty$, then
In characteristic zero we have another alternative: if $\mathfrak{g}\neq\{0\}$:
($\ast$) Let $\mathfrak{g}$ be a Lie algebra and $\mathfrak{h}$ a retract of $\mathfrak{g}$ (i.e., a subalgebra such that there exists a homomorphism $p:\mathfrak{g}\to\mathfrak{h}$ such that $p\circ i=\mathrm{id}_\mathfrak{h}$, where $i$ is the inclusion. Then the canonical map $i_*:H_n(\mathfrak{h})\to H_n(\mathfrak{g})$ is injective for all $n$. Proof: Since $H_n(-)$ is functorial, we have $p_*\ast i_*$ equal to the identity of $H_n(\mathfrak{h})$, so that $i_*$ is injective.