You can install the excellent JSBin locally.
I would say installing JSBin, like SpaceBeers suggested, is a pretty neat solution. But if that's not what you want, you could try one of the auto-reloading browser plugins that are out there.
For example, the Auto Reload extension for Firefox reloads the page as soon as the local file is changed.
You can use http://kodtest.com on offline.Very simple to use. Like jsfiddle.
Saving and getting JSFiddle to run locally might be a bit daunting, but there is a cruder but effective one @ http://htmledit.squarefree.com/. You can't do everything in RTHE that you can in JSFiddle, but it is remarkably tiny and runs locally with no modification.
Also, check out Aptana (http://www.aptana.com/), it will execute your JS right from the IDE, very nice if very big.
It is difficult to use JSFiddle for big projects.. I am using a Web IDE called WIODE.
It's been distributed trough Scriptaculous.