First install the rjson
package:
install.packages("rjson")
Then:
library("rjson")
json_file <- "http://api.worldbank.org/country?per_page=10®ion=OED&lendingtype=LNX&format=json"
json_data <- fromJSON(paste(readLines(json_file), collapse=""))
Update: since version 0.2.1
json_data <- fromJSON(file=json_file)