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Try Linqpad for a scratchpad too. Don't let the linq name fool you - its great for general purpose fiddling about. It has been truly indispensable when developing on .Net.

http://www.linqpad.net

I usually use PowerShell for fiddling which is often nice enough for trying out things with the BCL.

Back when I worked with .NET and Linq, I was a fan of this tool

If I'm in VS, I just use the F# interactive window. Even when I'm not coding in F# it's always nice to have a repl around.

If I'm playing with data and still want to poke .Net objects, I use Sho[1] which gives an IronPython REPL and some decent numerics support

[1] http://research.microsoft.com/en-us/projects/sho/

Mono ships with a C# REPL: http://www.mono-project.com/CsharpRepl

After using F# and having F# Interactive onhand, I cannot imagine working without a REPL. There's so many small things that become simple to check if you've got a REPL handy.