The IPython notebook is not quite a full blown IDE, but does support precisely this feature. Notably the notebook can support a Julia backend. For certain types of work one might prefer this kind of thing to an IDE.

I've not personally used RStudio but the IPython Notebook is great for interactive code with inline visualisations. I believe there's also a Julia kernel for IPython too so you could have either there.

I'd recommend Python as it has a lot of feature parity with R these days (especially with the Pandas library for fast dataframe operations).

I'm a daily python user, and mostly ex-R user. Agree data-frames in pandas help. But python really doesn't have much feature parity with R when it comes to statistical data analysis.

As another (mostly) ex-R user I have been trying to move to statsmodels, scikit-learn, etc. with pandas.

I still fire up R/RStudio with ggplot2 for more complicated plots though...

Spyder (https://code.google.com/p/spyderlib/) is python's answer to Rstudio and the Matlab IDE

Not sure about python, but i've been playing around with Julia Studio: http://forio.com/products/julia-studio/

Haven't used it long enough to form an opinion on it but check it out, I think it's what you're looking for