As has been pointed out lots of languages can be used interactively, though how conveniently they can be so used varies quite a bit. The interactive environment I'm most familiar with, and one that I have found among the most congenial of all the free environments for interactive programming I've tried (not that I've tried them all) is Slime, a mode for emacs that allows interaction with a running Common Lisp, and can also be used with Clojure, a Lisp for the JVM.
If Lisp isn't your cup of tea a variety of Smalltalk environments are worth mentioning. One of the interesting things about many Smalltalk systems is that they expose almost all of the code that implements the system in the programming environment- if you want you can browse or even rewrite parts of the programming environment as you are using it, just as you would write new code. In fact the line between the system provided to you and the code you are writing is pretty blurry. Squeak is an interesting free Smalltalk, and Cincom offers an evaluation version of their commercial Smalltalk, which is a great environment IMHO.
Anyway, if you're interested in playing with interactive environments you could do worse than to play with those two, though of course there are a lot of other systems out there that allow interactive programming to one degree or another.