Dear Christian,
 
maybe the Eclipse plug-in for R http://www.walware.de/goto/statet is ok for you. I have recently looked at it more closely and find it pretty good. It only lacks an outline and symbolic debugging (besides profiling) to be close to perfect.
 
There are plug-ins for many other languages for Eclipse, among them also for Latex, although I am not much familiar with it. Furthermore, Eclipse is cross-platform, so it should also work with Unix.
S-Plus has also written a plug-in for Eclipse which is a clear indication of the quality and power of this very versatile IDE.
 
Best regards,
Stefan
 
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Dr. Stefan Albrecht, CFA
Allianz Private Equity Partners GmbH
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