I'm doing some APEX coding, which includes Triggers, and some Visualforce pages. I have found the editor that Salesforce provide is no good, and most of the time the auto complete functionality does not work. Is there a good editor I can use so I get some autocomplete functionality? If so, could it be tied to my Sandbox so when I save the code, it gets saved also in SFDC?
I highly recommend VS Code. Lot of useful extensions available here - https://developer.salesforce.com/tools/vscode/
Including one that you're looking for https://developer.salesforce.com/tools/vscode/en/user-guide/deploy-on-save/
My recommendation is IntelliJ IDEA with the fantastic Illuminated Cloud 2 plugin. Unlike VSCode, this does cost money so it's only an option if you're going to continue developing for Salesforce.
Note that it works with all types of org and isn't restricted to using SFDX for your development (though I would recommend you did) since it also supports classic mdapi/tooling API development.
I haven't found better than JetBrains' Webstorm + a paid plugin called Illuminated Cloud (IntelliJ IDEA works with the plugin, too). I've used it for metadata and SFDX package development, and both are great.
Prior to that, I preferred Sublime with Maven's Mate. When that died, my team looked at several options, and settled on Webstorm because the performance of everything else was so poor.
I'd recommend you go with Visual Studio Code. You can follow this Salesforce Trailhead to get everything setup quickly.