As a first step towards turning SubEthaEdit into a capable LaTeX editing machine, let's address citations. Citations are a challenge to keep consistent and accurate, so mechanized assistance is quite useful. For LaTeX, that means BibTeX. BibTeX separates content from presentation in much the way that TeX does. Considering the many different formatting styles for bibliographies and citations that are required by different journals, this is something that I won't give up on -- I'll type the citation keys by hand if needed.
Fortunately, getting citation support in SubEthaEdit is trivial! Just install BibDesk, if you're not already using it, and set up autocompletion for SubEthaEdit. Inside a \cite, hit F5 or command-escape, and you get a list of completions for a partial citation key. This works really well. I hadn't used BibDesk for that for a while, since TextMate had its own method (not that it has worked in recent versions), so I'd forgotten how slick this is.
Completions in general, not just for citations, can be made a little bit easier. In your user Library folder, there may be a KeyBindings folder; if not, create it. Create a file DefaultKeyBinding.dict in the KeyBindings folder. The file is an XML file with a list of key-action pairs; bind the escape key to a string "complete:" (with the colon, without the quotes). The Property List Editor works nicely for doing this. The end result is that you just press escape instead of command-escape to get a completion. It doesn't cause any problems for using escape to, say, select cancel in dialogs, so there's no down side, just completions that are easier to activate.