Interesting that it fails to mention LINQPad. I'm always surprised to find a .NET dev who doesn't use this on a daily basis (for the REPL rather than any LINQ abilities).
The Immediate window is cool, but you can write whole applications in LINQPad scripts if you want which I don't think you can do in the Immediate window (i.e. can you define classes in the Immediate window?). I find I often use LINQPad to mockup and run a bit of code that I would have traditionally made a full command line project for.