I use a (heavily hacked) version of perlsh from the Term::ReadLine::Gnu distribution. It uses the same readline library as bash on Linux does. Alas, it is not available on vanilla Windows. But both MinGW and Cygwin provide that libraries, which are only useful if the terminal makes use of it, which the cmd window doesn't. Didn't try with powershell yet. But Cygwin sports a bash window, and with carefully setting up $PATH and PERL5LIB it could be possible to install Term::ReadLine::Gnu into e.g. strawberry perl, which I did not try yet, either. So, much handwaving here.

But if I were to implement a good REPL, I'd definitely start with the GNU readline library.