After a long searching, i got this IDE , Aptana which satisfies all my requirement. It is just like .net IDE with auto compiling and error displaying system, and come with built in server. You can download it from: http://aptana.com/studio/download
Error display while coding time is its another feature.
Auto filling is another feature.
For oops concepts, it will show the details of method and its parameter while you starta pointer (a dot . or -> )
A lot of javascirpt buit-in libraries are included.
Features like, console, break point, watch etc are there . There is a specialApatana Ajax Monitor to debug ajax calls.
Download it , and use it. I liked this one than dreamweaver or quanta or PHP Editor
More over the software Aptana is Free !!!