Saving and getting JSFiddle to run locally might be a bit daunting, but there is a cruder but effective one @ http://htmledit.squarefree.com/. You can't do everything in RTHE that you can in JSFiddle, but it is remarkably tiny and runs locally with no modification.
Also, check out Aptana (http://www.aptana.com/), it will execute your JS right from the IDE, very nice if very big.