Not directly answering the question, but I consider this relevant for learning PDL: I found the shell pdl2 incredibly useful. PDL is a bit special because it imports lot of stuff into your namespace, but for interactive use this is exactly what you want. The demo command of this shell is amazing. I use pdl2 a lot to check whether I understood the docs correctly. Also, it is very easy to visualize data sets by drawing them interactively in 2D and 3D.