I have found that the Emacs-ESS combination is well worth the learning curve. I enjoy being able to:
- have code and R console side by side
- send the current line, paragraph, file, or function to the R console without touching the mouse
- easily interact with R sessions on remote computers
- enjoy all the editing abilities of Emacs
Here's the website for the project:
http://ess.r-project.org/
Here's a helpful document about ESS in particular:
http://www.demog.berkeley.edu/Refs/ess.pdf