Can you recommend a good YouTube video that demonstrates this? I'm used to writing code incrementally in Python via the IPython REPL. I've also used Twisted's Manhole to get a REPL inside an already-running Python server process. But I believe you're referring to something substantially richer than that.
For me, it's a combination of having a REPL and having a good interactive interface between the editor and the REPL. Typing forms into and evaluating them in the REPL is one thing, but typing them into your editor file and evaluating them from there in the REPL is much more useful. (I can't fairly say one way or the other whether that's possible/common in IPython.)
There's a lot of idiosyncratic advice in those Halloway talks, and people shouldn't blindly adopt it wholesale without evaluating if it's right for them.
Learning to evaluate forms directly from the editor is great, but _never_ typing in the REPL forces you to clutter up a file with evaluations you may not want to save, and jump around a lot between your comment blocks and code.
You can do interactive development in Python using emacs and the “elpy” package. I’ve only used it for small scripts, so I can’t say how it compare to Lisps.
it's easy to run a lisp (clisp on linux) or scheme (guile on linux) REPL and then paste in example code and see what it does, there's lots of examples out there. Then I'd say try playing with "call with current continuation" if you want to see mind-bending elegance (or let's say it's an elegant implementation of something you'll never be sure you understand)