Why not just use emacs? It has a shell mode, so you can edit your script in one "window" and run it in shell in the other. It works on both DOS and Unix/Linux (if memory serves DOS shell isn't nearly as nice as Unix, but it does work-- I'll have to double-check this at work tommorrow, and please forgive me if I mispeak). Plus you get all the added benefit of having any output saved in a buffer which is fully cut-and-paste-able. Not to mention the other zillion little things it does that are just plain handy.
Disclaimer: I've been reading ORA's "Learning GNU Emacs" and I may not currently be enjoying a lot of objectivity in this area.