Very nice! As another way of doing it, using quotes around the here-doc terminator saves you from having to backslash all those special characters.

#!/bin/sh

echo This is bash
i=12
echo $i

perl - $i <<'__HERE__'
my $i = shift;
print "This is perl\n";
print ++$i . "\n";
__HERE__

echo This is bash again
echo $i
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Because << is a redirection to STDIN, in order to add $i to the command line I also had to add - so that perl would know to read the script from STDIN.