During the last 10 minutes of Ander\'s talk The Future of C# he demonstrates a really cool C# Read-Eval-Print loop which would be a tremendous help in learning the language.
Marc's answer is entirely correct, the possibility of a repl or script like c# has been discussed by Eric Lippert in two blog posts:
I would add that, the 2010 CTP does contain an f# repl (not much use for c# but if you were interested in some aspect of the BCL or CLR then it might be sufficient for your needs)
I find that LINQPad makes up for the lack of a REPL in many cases. It would be nice to get it integrated into Visual studio so you could interact with your existing code base more easily though.