Earlier today Jeff Oishi committed a script called 'iyt' to trunk/scripts/ . If you've got IPython (http://ipython.scipy.org/) installed and you run iyt, it will load up an IPython session with the appropriate threading necessary to access the 'pylab' interface to Matplotlib, as well as all the yt modules pre-imported and in the current namespace. This, combined with the PlotCollectionInteractive object, simplify interactive exploration of data significantly. (IPython is pretty sweet -- I bet Jeff has some great tips; I'm not an expert on it.)
If you're on branches/yt-1.0 , it'll be committed over there after it gets tested a bit.