No-one would call the R interface pretty. In fact, it's the sort of interface that strikes terror into the heart of new users. The trouble is that many people find themselves trying to use R because you can do something in R that you cannot do in any other package. These users find that R is just so different to anything else they have used that they can spend days – weeks, even – just trying to figure out how to get their data into the blasted thing.
There have been a few attempts to improve the user experience, though the feeling in the R community seems to be that R does statistics, and that a nice user interface is a low priority.
I've been experimenting with RStudio recently. As an interface, I've found it much easier to work with than anything I tried previously. Here's what it looks like (click the image to see it full-size):
The bottom left shows you your output. On the top left, you can see that I'm browsing a small table, and on the top right you can see the contents of my R workspace. I like this, because R's ability to have multiple datasets available at once is a strength. Being able to browse them and inspect them is pretty useful. The bottom right shows a very useful pane that you can use to manage files, plots and packages. Clicking a package name opens the help file in the help tab.
Command tips appear as you type a command – no, it doesn't give you dialogues for commands, but the tips are very useful.
Will this make R as easy as Stata? No, clearly. But it makes it a lot easier. And for that, you may well be grateful.
RStudio is also under pretty active development, and has improved noticeably over the couple of months I've been using it. Worth a try, then.