http://ipython.scipy.org/
Python can be run from the interpreter, meaning you can open up a shell window and type in code in real time and it executes them as you enter things. This allows you to test out snippets of code with simple test cases as you work.
Not sure how the syntax for something that COM call works? Just pop open the interpreter and experiment away until you figure it out. Need to do operations on a data set and plot graphs and such while you work to figure out what's going on? Just import the modules you're using and play with the data interactively.
