You want the RAD wonderfulness of a visual web part, but it needs to be deployed as a Sandboxed solution.
No, SharePoint powertools for visual studio to the rescue!
There are a couple limitations, read the above page, nothing major. e.g.
2. Debugging asp.net
code is not supported.
3. Use of <% Assembly Src= is not supported
I understand it does it by adding the markup as an embedded resource, but I haven't actually tried it yet! To come!