Until now, I've used ActiveState's Komodo for the purpose but I have to admit that Oxygen is better. Obviously, there's content completion for XSLT, but also for XSL-FO, which is very nice. You can also set a DTD or XML Schema of your own choice as the target output, which makes it a lot easier and faster to write stylesheets.
But the best feature is one that I don't really expect to use commercially: Oxygen's got Relax NG support, both for writing Relax NG schemas and for writing instances. It's really cool, but unfortunately, nobody seems to use Relax NG. It's just me and a few mates.
And no, I'm not affiliated with the company behind Oxygen in any way. I just like the product. A lot.