'sftp' is seriously lacking relative to, say, ncftp: it has no command memory, no Tab-completion of file names, and so on. Is there a non-GUI tool for SFTP that people recommend?
LFTP can speak the SFTP protocol. If you're on Linux, it should be in your distribution's package repository (e.g. yum, apt-get, emerge, etc.).
With the sshfs FUSE file system you can mount an sftp-server in your local file system and then use whatever preferred tools you would use locally. I suppose most linux distros have packages for this (Debian & Ubuntu certainly do), and maybe it exists for other OS that have a FUSE implementation too.
While I've never used it myself, PSFTP from the people who make putty is available here http://www.chiark.greenend.org.uk/~sgtatham/putty/download.html. I have however used PuTTY and PSCP, both of which were easy to use.