Just open a source file extending AnAction, IntentionAction, or LocalInspectionTool and hit Ctrl-Shift-F10 to run it, just like a JUnit test or Java Application. It will be installed in your current IDEA instance and ready to go. To uninstall, just click the X in the Run Configuration window. HotPlugin can display System.out.println() calls in the window, and monitor the idea.log file to help with debugging.
Due to IDEA's plugin system, HotPlugin can't test all types of plugins, particularly ones dealing with interaction with other components and saving configuration but is good for rapid development and testing parts of a plugin. When you get to the stage of testing the whole plugin, use the standard DevKit "Plugin" run configuration to start a new instance of IDEA and test your plugin fully.
Note that it is possible to write code that will mess up your current IDE session by going into infinite loops or manually adding listeners to IDE hooks which can't be cleaned up. If this happens, a restart of IDEA will reset everything.
Enjoy. Any suggestions for enhancements are welcome. The source is available via Subversion at http://svn.roblisa.com/plugins/HotPlugin/