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I tried Conque and didn't care for it, refreshing was slow and I favored the detached approach.

I do, however, encourage everyone to try out the different options to find what works for them, what works for me doesn't work for everyone. Conque is a really neat plugin, it's definitely worth a shot for people shopping around.

You can compile one in, but that isn't a great solution - you have to recompile vim on every computer you use it on.

The patch is here: http://www.wana.at/vimshell/

Vim-shell isn't bad, but the version on the site is outdated. You have to scour their mailing list to find a working link to a patch that works with vim 7.2.

Tiling a vim-dow beside a REPL-window in a GUI works for me

:h shell-window