When developping in PHP, I generally use Eclipse PDT.
If you are more oriented towards HTML/CSS/Javascript, you might be interested by Aptana, which is based on Eclipse too... Which means it can use lots of plugins, including some to work directly on a server, I suppose (see TM/RSE, for instance).
Note than Aptana can also be installed into an existing Eclipse installation, as a plugin.
Oh, also, I almost forgot : Eclipse is free, and there are both a free and a commercial version of Aptana.
(One bad thing about Eclipse being it requires a quite powerful computer -- at least 2 cores and 2 GB of RAM, if you want to use any other application at the same time...)