I use gvim. Not sure how popular that is with other Windows users, but the following set of utilities come in handy and can be used by any editor capable of binding keys/functions to commands:
http://code.google.com/p/batchfiles/
batchfiles contains batch (.bat) and javascript (.hta and .js) files useful in conjuction with R and R packages on Microsoft Windows. There is no formal installation, each consists of a single file and is independent of the others so just place any or all of them anywhere in your Windows path and you will be able to access them in any Windows console session.
In particular, the AutoHotKey scripts in that bundle are nice for sending selected text to an R console.