It seems JScript was a bit ahead of its time, in much the same sense that Lisp was. More accurately ECMAScript was, the standard on which Microsoft's implementation was based.

In 3 lines of code, here is a REPL that compiles and works. It is written in JScript.NET itself (jsc.exe):

import System;
while (true)
    print(eval(Console.ReadLine()));

A more robust version can be written in roughly 50 lines of code:

import System;
import System.Text;

function read()
{
    var program = new StringBuilder();

    while (true)
    {
        Console.Write("{0}{0} ", program.Length == 0 ? ">" : ".");
        var line = Console.ReadLine();
        if (line != "")
        {
            if (program.Length == 0 && line.StartsWith("!q"))
                break;
            else
                program.AppendLine(line);
        }
        else if (program.Length != 0)
        {
            break;
        }
    }

    return program.ToString();
}

function evalprint(program)
{
    try
    {
        var o = eval(program);
        Console.WriteLine("=> {0}", o);
    }
    catch (e)
    {
        Console.ForegroundColor = ConsoleColor.Red;
        Console.Error.WriteLine(e.ToString());
        Console.ResetColor();
    }
}

while (true)
{
    var program = read();
    if (program == "") break;
    evalprint(program);
}

It's just a matter of time before C# and the world at large embrace the power of eval().