Just spent an hr or more looking at VST. The Steinberg licence doesn't seem to make things as easy as they could be for open source and I (on Linux) had to download their SDK before I was able to compile the Audacity VST enabler. Now the references I see for using VST plugins point to using wine (to run Win programs on Linux). I give up...

On Linux, Audacity will work with LADSPA and I seem to have quite a range of (I think reasonably named) plugins to chose from. They don't offer the on the fly editing you mention Audicity lacks though.

I guess if I was looking for something more advanced, I'd try Ardour (OSX and Linux but no Win).