The PyS60 shell allows you to connect via Bluetooth to a Python console on your phone. But, on the Mac at least, it's really awful. There's no readline support and if you mistype, you're pretty much guaranteed to get a weird syntax error due to some invisible characters I assume.
When I tried the location module example in the PyS60 documentation, I got a "Permission Denied" error. It turns out, you need to get a dev cert and sign the unsigned version of the PyS60 Python Script Shell.