A newcomer to the scene, which IMO looks very promising - and downright baller - relative to other existing IDEs like Rattle and JGR, is RStudio. It's free software, is cross-platform, looks very polished, and even has features like automatic refactoring.
Update 2012-04-12: I've been running it for a bit on our DB server, and I love that it's a web app that saves your sessions, resume-able from anywhere else. Plotting requires not only no X tunneling or png-writing but is easier to use than out-of-the-box R. Extremely easy to get up and running, and it comes with packages for Debian/Ubuntu (which I use).
The company/development is moving pretty fast, aiming to be the de facto standard IDE for all R users. If I'm gushing, it's probably because I was pleasantly surprised by the quality of the IDE after a long time of using sub-par IDEs, not just for R but for plenty of other languages. So this was a bit out of the blue. I still need more time to really dig into it but I like what I'm seeing so far.
