BlueJ is a simple Java IDE (avalable from www.bluej.org) which also has this sort of behaviour. You can instantiate an object of any class on the classpath by providing the fully qualified name and then selecting any of the class's constructors. Once the object has been instantiated, a small icon representing the object appears. You can then right-click on the object's icon to call any of the object's methods. Because BlueJ is an IDE and debugger it has privileged access to the JVM, which also allows you to also inspect the object to see all its private state.
BlueJ has built up quite a following in the educational arena just lately and there are several "CS101" text books using it (but none from O'Reilly). See the web site quoted above for more info and access to the lively discussion lists.