Amy Hoy's overview
Wirble (syntax coloring, tab completion, saved history)
Ultra fucking ninja, get it now
Also useful for Rails console.
(Fair warning, in the "ultra ninja" one, you use it by copying and pasting a code sample. Problem is, the code sample is tainted with curly quotes and Wordpress devoured the slash in a newline sequence at the end of a string. Does require some very minor hacking.)
Update: the "ultra ninja" thing actually requires more hacking than I thought it would, so if you want to skip that effort, you can use this code sample instead. By the way, if you took a look and you're thinking, well, what's so ninja about that anyway, the answer is that it takes regular expressions as arguments. Is it convenient to be able to search any object's available methods with a regex? Of course it is.