Yeah, it's one of those great annoyances. Finder should have read/write FTP, and it's a feature I'm hoping for in a revision soon. For now, I use either command line or Transmit. http://www.panic.com/
Though I've never tried it, I've heard some good things about RBrowser and RBrowserLite. You would need to pay to use SFTP, but the free Lite version does have a GUI for regular FTP.
Ever used Fetch? It is clean and simple . . . just drag and drop for the most part. It doesn't have a huge range of features, but works great most of the time. (Plus if you are still in an educational institute you might be able to get a free license.)