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I use emacs with MMM-mode and use R and stata at the same time for my classes. It actually highlights according to the language i.e. either stata or R or Latex in the same buffer. It works really nice since you have access to ESS in the code chunks.
I put together a small bundle for TextMate (with a couple of tab-completion commands to include stata and r code block with and without figure identifiers and a command that binds a hot-key to weave, typeset and view. The most important part, though, is the language module that does the appropriate text highlighting for the LaTeX, Stata, R and SAS where appropriate. I "borrowed" most of the language model from the SWeave bundled and modified as necessary. For this to work, users have to install bundles for the three software packages from the following:
R Bundle (from TextMate svn)
Stata Bundle: http://bylr.net/3/2010/10/stata-bundle-for-textmate/
SAS Bundle: https://github.com/jakob-stoeck/sas.tmbundle
I've hacked StatWeave (which allows Stata, R, and a bunch of other stat languges) to work in my LyX (in Windows 7 with LyX 2.0.4) and thought that others might like this as well.