IPython Notebook
I have started using the development version of IPython from github and the experience has been extremely pleasant. Writing code and doing interactive data analysis has become so much more easier in iPython Notebook.
Fernando Perez at Pycon 2012 says that, very soon, there will Sphinx support, debugging support and other parallel computing support that will be built in to IPython. Will eagerly await the production version of IPython notebook. However development in whatever form it is in, is good enough to experiment and do quick data analysis. The fact that matplotlib graphs appear inline is something that I found really useful.