I was wondering if it was possible to compile, and run stored code, without generating an exe or any type of other files, basically run the file from memory.
Basical
It's possible. It's easy or hard, depending on how much and what kind of code you want to write.
Edit: Note that, prior to .NET 4.0, System.Linq.Expressions is limited to what you can fit on a single line of C#: that is, no if, while, variable assignment etc.