If you want your Pry experience to be even more SLIME-like, try combining it with vim and tmux. You can write code in vim, and send arbitrary lines or blocks to the terminal for seamless execution. This has changed how I do a lot of things, not just Pry: it's really handy for putting together bash scripts, for example.
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[ 479 ms ] story [ 961 ms ] thread(self-link) http://www.alanmacdougall.com/blog/2012/03/27/using-vim-slim...
So if you look at the above points, please add +1 from me. Also someone fix my karma - I stand to all my statements.