Writing M in the Advanced Editor in Excel or Power BI can be a frustrating experience unless you’re the kind of masochist who loves writing code in Notepad. There are some options for writing M code outside Excel and Power BI, for example Lars Schreiber’s M extension for Notepad++ (see here for details) or the M extension for Visual Studio Code (available from the Visual Studio Marketplace here; more details on Brett Powell’s blog here), but the trouble with them is that you have to copy the code back into Excel or Power BI to run it. What many people don’t realise, however, is that it is possible to write M code and have IntelliSense, formatting, keyword highlighting and also the ability to execute your own M queries, using the Power Query SDK in Visual Studio.
The Power Query SDK (which you can download here) supports Visual Studio 2015 and 2017 and is intended for people who are writing custom Data Connectors for Power BI. To let you test your Data Connector you can create a .pq file containing M code, and this in fact allows you to run any M query you want whether you’re building a Data Connector or not.
And then, once you get comfortable with M, start learning F#. That will allow you to laugh haughtily at those poor object-oriented sods out there.