If you are used to Eclipse or Visual Studio, and are running on Windows - then Dolphin is something that will feel very familiar to you. It looks very nice (no emulated widgets, as its not trying to be cross platform), and it has nice touches like code completion and a graphical window designer (rather like IB on the mac). It also has great refactoring tools and can easily create small .exe file (e.g. 500k including the vm). There is a little screencast of doing TDD in Dolphin
Of course, these things are available in other dialects - in particular Squeak Pharo looks very promising particularly if you are after an open source product.
