Command vs. Immediate Window in Visual Studio
They do different things.
Immediate window:
The Immediate window is used at design time to debug and evaluate expressions, execute statements, print variable values, and so forth. It allows you to enter expressions to be evaluated or executed by the development language during debugging.
Command window:
The Command window is used to execute commands or aliases directly in the Visual Studio integrated development environment (IDE). You can execute both menu commands and commands that do not appear on any menu.
The immediate window is a debugging aid.
The command window lets you execute commands (say menu items) at any time.
Though they share some functionality they each have a separate focus.
Adding to the "difference"
Immediate window: has all the functionality of the Command Window as long as it starts with ">".
Command window: does not have other functionality since it can't start with anything but ">".
P.S. Visual Studio includes both as in developing mode you can use practically only Command Window, since you need the debugging mode to be active in order to use the functionalities of the Immediate Window(which at any time can use the Command Window).
In short, have Command Window in Developing Mode and Immediate Window in Debugging Mode.