My setup is dead simple. I'm on Windows, so I use Notepad++ with syntax highlighting as my editor and do a lot via the REPL. I just use regular Julia, not JuliaPro. Installing packages hasn't been a problem for me, just Pkg.add("PackageYouNeed"). I've had very few problems with package setup in the past and none recently.
On a 4-core CPU I have the environment variable JULIA_NUM_THREADS set to 3 so that when Julia is doing threaded worked there's still a core free for web browsing.
One potential gotcha: the Julia docs will mention that you can access shell commands from the REPL by starting your line with a semicolon, e.g. ;ls. For me this only works if you start Julia from something like Git Bash, not cmd.
Lots of people seem to like Juno (junolab.org) as an IDE. The team behind it has made incredible progress recently, and sometimes I use it for its GUI around the debugger, but for the most part I tend to stick to Notepad++.
