Java's interactive shell like ipython

groovysh:

http://groovy.codehaus.org/Groovy+Shell

• Rich cross-platform edit-line editing, history and completion thanks to JLine.
• ANSI colors (prompt, exception traces, etc).
• Simple, yet robust, command system with online help, user alias support and more.
• User profile support

If you want an interactive option for use with java try using Dr Java or JGrasp, they both provide the same interactive option as does IDLE for python, plus being a fully based IDE with a debugger I prefer JGrasp to Dr Java. They also have a Dr Python so if you get used to Dr Java you can also use it with Python.

Also Dr Java has a feature in which you can select from beginner, intermediate, advanced and full Java in order to limit what you can do with the language as you learn it. I never use that feature as I dont see the point in restricting parts of the langaue but I guess some teachers utilize it while teaching their students.

You probably won't get much use out of using java interactively, as that language is strongly oriented toward compiling. The best route will probably just get a nice IDE, like eclipse, and get started with breakpoints and the debugger.