Question says it all...
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5Zend Studio by Zend, has this feature. Along with quite a few more that really speeds up PHP development. It is not however, a free solution, but if you are doing some serious development it is generally recommended.
It is not an IDE, but if you are a textmate user, then there is a bundle for CakePHP: http://thechaw.com/cakephp_tmbundle
You can get this functionality in Netbeans as described in this article from the bakery.
http://bakery.cakephp.org/articles/view/model-based-code-insight-and-completion-in-netbeans
You can also do the same thing in Eclipse PDT or Aptana.
http://mark-story.com/posts/view/code-completion-for-cakephp-in-eclipse
All of these IDEs are free. Although they are both
Komodo Edit has a CakePHP addon and a macro to ease MVC navigation.
It is built on the Mozilla code base so is similarly extensible through addons, has equivalent memory consumption/speeds, and is licensed under the same terms.
Nearly forgot to mention, it is also cross-platform.
I use free PHP IDE Codelobster PHP Edition with special CakePHP plug-in.