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Easy: use plt.show() to actually show the plot instead of saving it to a file:

from scipy import stats
import numpy as np
import matplotlib.pyplot as plt

@interact
def plot_norm(loc=(0,(0,10)), scale=(1,(1,10))):
    rv = stats.norm(loc, scale)
    x = np.linspace(-10,10,1000)
    plt.plot(x,rv.pdf(x))
    plt.grid(True)
    plt.show()