My gdb-fu is weak, but don't you have to have a binary that you're debugging to do that? I'm thinking of this as more of an exploratory thing-- poking around the edges of an API until I feel comfortable enough with it to start writing real code.
This blew my mind the first time some one showed me, and is one of the reasons I currently prefer C to other mainstream compiled languages.
Edit: I suppose it is possible to get some version of a repl with C++ (Cling?), Java (Beanshell, Java 9?), C# (Mono, but not currently .Net?). But each of those seems generally a bit harder to get access to than simply calling gdb on a binary with debugging symbols enabled.
C# has REPL in the immediate window when the debugger is running; so it's kind of like using GDB as a REPL for C. Although it is somewhat limited in what you can do.