SublimeREPL is an excellent interpreter that runs inside of Sublime Text. If you encounter an error when attempting to load it containing "Could not find pry" it's because you're missing the Pry Ruby Gem. I know, sounds obvious, but it wasn't to me right away, thus this post.
Here are a couple of screenshots to show you what I'm talking about.
Pry is an IRB alternative and runtime developer console gem SublimeREPL uses and is easily installed in a Terminal window with
$ gem install pry
Restart Sublime Text and you're golden.