I tend to use Macromedia Director for all my interactive prototypes. The main reason is of course that I happen to be familiar enough with it to be able to work quickly. In fact, when I write Lingo code it feels responsive just like sketching should: I rapidly test different moves in the design space and study their outcomes, thinking with hand and eye together.
For this sketching-by-coding to take place, an interpreting environment is useful where new pieces of code can be tested instantly. Moreover, a good collection of graphics routines is valuable for exploring non-standard interactive behaviors.
Director offers these features, but so do surely also many other programming environments. Ultimately, the choice may come down to personal habits or corporate policy.