Personally I just use a lightweight text editor (jed, or Notepad++) and a separate console. I typically make the console open in c:\users\jon\Test where there's a Test.cs file with whatever I've done last - typically including:
using System;
using System.Collections.Generic;
// etc
class Test
{
static void Main()
{
}
}
I normally just get rid of whatever was in Main before and put in whatever I want.
While compiling from the editor would potentially be handy, I often want to use ILDasm or Reflector, so it's handy having the console open.
You might also want to look at LINQPad which would help you: it has Intellisense, and can build and run code directly. It's particularly aimed at helping with LINQ queries (hence the name) but you can use it in a more general-purpose way too.
