Yeah, that is why I haven't proposed it earlier. But I find myself creating a new tab to try new code without cluttering the real code - that is either because I'm not entirely used to LT-style-development (I have to work with Matlab too much) or because a REPL actually makes sense sometimes ;)
And I've just tried JuliaBox - except for the fact that it's horribly unresponsive and doesn't work in FF, the REPL is quite nice.
Another point in favour of a integrated REPL: Unification of STDIN and STDOUT. Since
print() and the likes write to STDOUT which is the console in LT, it'd be nice to be able to get STDIN from there as well.