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I have always used Texmaker and it totally works for me. However it is unable to automatically retrieve the list of all labels for auto completion.

In particular, it does not fetch labels defined in other files and does not fetch labels defined by using macro. I always use lstnewenvironment to input different types of code but then texmaker is not able to recover the label defined by the macro. It is not a big deal but I end up switching file anytime I have to insert a ref.

I believe that an editor should be able to recover all labels by the aux files shouldn't it? Is there any editor or tool able to do so?

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    Take a look at winedt if you are on windows. – user11232 Jul 8 '12 at 10:32
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Emacs with AUCTeX and RefTeX can do this. You might need to use RefTeX's reftex-parse-all command (from the main file) in order for new labels in included files to be refreshed. Then you can use any of the reference-related commands such as reftex-reference, or the reftex-toc

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    Needless to say, that you can also manage index-references. This comes very handy when debugging your indices. As usual, recursively in all included/inputted files ;) – Stefan Waldmann Jul 9 '12 at 8:41

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