A jQuery editor
Just like with HTML, CSS and even regular JavaScript, you can write jQuery in any kind of editor, even Windows Notepad. However, using a simple text editor like Notepad for creating webpages is like using a screwdriver to drill holes into a piece of wood: It works, but it takes a lot longer and is way less pleasant.
If you already have an HTML editor that allows you to work easily with JavaScript, then it will likely be good for writing jQuery as well, but there are editors out there that will treat jQuery as a first-class citizen and help you type it faster and more efficient.
I personally use TSW WebCoder, which has a bunch of awesome IntelliSense features to aid you, covering all the technologies you need: HTML, CSS, JavaScript, PHP and of course jQuery. Having a list of possible properties, methods and their parameters is a huge help, especially when you're brand new to jQuery. If your current editor already does all of this, and you feel comfortable with it, then by all means stick to it - if not, then consider giving WebCoder a try.
More information about TSW WebCoder