This list is by no means intended to be exhaustive, and merely represents editors that I have used and which work well with at least one statistical language.
• jEdit - Free/Open Source: Powerful and easy to use
• UltraEdit - Commercial/$60: Powerful and easy to use
• Eclipse with StatET plugin - Free/Open Source: Capable of being used as a text editor or a full IDE
• EMACS with ESS plugin - Free/Open Source: Steep initial learning curve but extremely powerful
• AutoIt is not a text editor but rather a Windows tool which helps link text editors to your statistical package