Speaking for myself, it's not getting a "project" up and running that's a pain, it's getting a single line of code up and running. I don't like to have to make a project (or even a Main method) to do that; I would prefer a REPL.

When working on a big project, if I want to just test out a piece of code, I actually find myself launching the project, pausing it, and using the "Immediate" window in Visual Studio as a REPL, even though it's inconvenient for the purpose.