Sage in Emacs

There is support for using SAGE interactively from within emacs, and editing Python code in emacs:

Download sage.el and byte compile it, or download sage.elc.
Download python-mode.el and byte compile it, or download python-mode.elc. This is highly recommended since it is a vast improvement over editing Python code without a special mode.

(NOTE: Recent versions of Emacs have their own major mode for Python called http://cvs.savannah.gnu.org/viewvc/emacs/lisp/progmodes/python.el?root=emacs&view=log. So those with GNU Emacs 22 or 23 shouldn't need python-mode.el. The modifications to your .emacs file suggested below will be the same, except you can remove or comment out (load "python-mode").)

Download pyrex-mode.el and byte compile it, or download pyrex-mode.elc.
Put the .elc files all in a directory, e.g., /home/was/.emacs-scripts.
Add the following to your .emacs file, where you replace /home/was/.emacs-scripts with the directory where you put those elc files.

(add-to-list 'load-path (expand-file-name "/home/was/.emacs-scripts/"))
(load "pyrex-mode")
(load "python-mode")
(setq ipython-command "~/bin/sage")  ;; depends on where your sage is.
(load "sage")
(require 'ipython)
(fset 'py-shell-fullscreen
   [?\M-x ?p ?y ?- ?s ?h ?e ?l ?l return ?\C-x ?1])
(define-key esc-map "i" 'py-shell-fullscreen)
(setq auto-mode-alist (cons '("\\.pyx\\'" . pyrex-mode) auto-mode-alist))
(setq auto-mode-alist (cons '("\\.pxd\\'" . pyrex-mode) auto-mode-alist))
(setq auto-mode-alist (cons '("\\.pxi\\'" . python-mode) auto-mode-alist))
(setq auto-mode-alist (cons '("\\.sage\\'" . python-mode) auto-mode-alist))

Start emacs. Now Python code and pyrex files are colored correctly, and there are a bunch of extra commands.
Start emacs. Type Alt-i. A SAGE window should appear. Colors and tab completion should work. If you are in debugging mode (%pdb), then when an error occurs, an emacs window opens taking you to that point in the source code! (Note: Tab completion does not work when you run emacs with "emacs -nw".)

Hints

If when running SAGE, the screen gets cluttered up, e.g., by the output of help, just type Ctrl-[_], i.e., Ctrl-Shift-[- key] to undo, which will remove the last chunk of output completely.