Check out the Mono project. They recently demoed CsharpRepl which sounds like what you're after. The PDC 2008 video here.
Update:
On a close look it seems like using Mono.CSharp service to evaluate scripts won't be possible. Currently it is linked to the Mono runtime and they don't expect it to run in a medium trust environment. See this discussion for more info.
On alternative possibility is to include the Mono C# compiler (sources here) in your project and use it to generate assemblies that you load from the file system. It you are worried about the resources required to load all those assemblies you might have to load them in a separate AppDomain.