The best IDE is ColdFusion Builder. It allows RDS, In Line Debugging, Extensions (written in ColdFusion!), Code Generation, Refactoring, supports JavaScript, CSS and HTML and so much more. It is currently in beta and should be released in production sometime this year.
CFEclipse is a great IDE for CFML and is the right choice if you are writing CFML for the open source engines. It is free and like most open-source free products it can do almost anything Builder can do if you invest the time to install the additional plugins (like Aptana) and tweak your setup just right.
I use both. At work, we use Builder. At home, I use CFEclipse.
Welcome to the CFML community!
