What can I say? I'm a sucker for convenience.
I love the fact that 1and1 accounts come with WebDAV enabled by default (with their admittedly obtuse usernames.) With WebDAV, I can mount my web server in the OS X Finder and work with files drag-and-drop style.
WebDAV can be a pain to set up, however, and some hosts just don't offer it.
One awesome (yet still early-alpha) solution is MacFUSE, a Google Code project. Included in the downloads for that project is sshfs, a plugin which allows you to mount any ssh/sftp server as a drive on your Mac. The whole project is a very early release, and they include lots of disclaimers, but it has worked out fine thus far for me mounting my web space to play with jQuery / make template changes quickly.