If it's not possible for you to set up a local web server to develop WordPress plugins, or if you are planning to share the development tasks with one or more people, then an alternative to setting up a local web server is to create a remote development environment.
The easiest way to create such an environment, assuming that you already have a web hosting account set up, is to create a sub-domain off your main domain. This will allow you to create a standalone test installation for WordPress that will still provide safety from affecting a live site, but will not carry the other benefits of a local installation.