The integrated FTP sidebar and file publishing feature, combined with auto upload on save make editing a site on an external server seamless.
The search feature is also very powerful, the results are displayed really well and it makes finding code across an entire site very fast and intuitive.
If you're working on a static website (i.e. HTML?CSS), the live preview is excellent. You can even inspect it like you can in Safari/Chrome etc, which brings you entire editing workflow into one place. You might want a decent size screen though.
Split screen editing is excellent in Coda, you can have different files side by side or even the same file (e.g. you might want to see the top of your file where you might have variable listed for instance while you work on a function further down).
I sometimes get a bit lost when moving around the local file system in the sidebar - you can browse anywhere on your system in the sidebar rather than just the directory assigned to the site, which I think is where it gets a bit messy.