The Command Window and the Immediate Window seem to do very similar things (for example, I can display variables in both windows by typing ? myVariable). What a
Adding to the "difference"
Immediate window: has all the functionality of the Command Window as long as it starts with ">".
Command window: does not have other functionality since it can't start with anything but ">".
P.S. Visual Studio includes both as in developing mode you can use practically only Command Window, since you need the debugging mode to be active in order to use the functionalities of the Immediate Window(which at any time can use the Command Window).
In short, have Command Window in Developing Mode and Immediate Window in Debugging Mode.