On http://jashkenas.github.com/coffee-script/ there is a list of what is available.
For Emacs there is CoffeeScript Major Mode (Emacs for mac: http://aquamacs.org/)
For Vim there is Vim CoffeeScript (Vim for mac: http://code.google.com/p/macvim/)
For Textmate there is CoffeeScript TextMate Bundle (how noted by Trevor, this is maintained by CoffeeScript creator Jeremy Ashkenas. And how noted by Chocohound, it works on Sublime Text 2 too)
For Gedit there is gedit-coffeescript
For IntelliJ IDEA and RubyMine there is coffeescript-idea
I can find nothing for TextWrangler or BBEdit.
Edit:
The list moved to the wiki and now there is an attempt to make a BBEdit plugin too 😉
As mb21 said, you can find TextWrangler instructions here.