Changes http://wiki.axiom-developer.org/PamphletSyntax/diff
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As someone stated, TeXmacs allows Axiom sessions to be started and 
automatically captured into a document. It does not directly support literate 
programming and is harder to use than LyX. However, if you're an Emacs guru, 
you'll find it easier to learn than if you aren't. As far as a Windows port is 
concerned, if you can't get a recent native Windows version, it will run under 
Cygwin and is I think distributed as part of Cygwin.

LyX is quite a bit easier to use than TexMacs and does support literate 
programming. The R folks have hooked it up to their Sweave functionality that I 
described above, but to get the most out of LyX you'll need noweb anyway. They 
just released 1.5.0 a few days ago. I've been beta testing it for some time and 
it is close to becoming my editor of choice. About the only thing it *doesn't* 
do is the session initiation and capture that TeXmacs does. And there are still 
some things you'll need to do in shell scripts if you want to automate things. 
I think LyX is also distributed in Cygwin, and there is a native port as well. 
The native port requires a whole bunch of dependencies ... IIRC Tcl/Tk, Python, 
GTK, and of course MikTex. The installer will download those for you if it 
finds that you don't have them.

So for my money, I'd go with LyX over TexMacs and either one of them over Leo. 
I've got a project I'm chipping away at in my free time called Rameau that 
integrates R, Ruby, LyX and GiNaC/CLN. I suppose I could add Axiom or some 
other "real CAS", but I really wanted to make it a scripting-language/math 
library tool set rather than an "application" as such. The last time I touched 
it seriously was about nine months ago, but I'm about to fire it up again. The 
extended abstract is at 
http://viewvc.rubyforge.mmmultiworks.com/cgi/viewvc.cgi/Rameau/Rameau.pdf?root=cougar&view=co
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