C# Interactive seems a lot more powerful than the Immediate Window (at least it handles lambda expressions that are often used in LINQ - see Visual Studio debugging "qu
Disclaimer: I work for Microsoft on the Roslyn team.
Unfortunately, we don't have a way to get the debugger context right now. We are aware that it would useful, and as we get more of the core deliverables for Roslyn completed we hope to investigate more and see what can be done.