Most of the time I use PHPEd; for quicky stuff I use EditPad Pro.
If you're doing a lot of work in PHP, I suggest you check out PHPEd along with the associated Technology Platform, which will install Apache, PHP, phpMyAdmin, MySQL and Perl already preconfigured on your box so you can run your scripts with database functions.
Or, if you like working in EditPlus or whatever other editor, install the latest version of PHP and then use a little server proggy called BadBlue to run your scripts but without the database.