As for cross-platform, VS Code has a plugin for SQL Server. It doesn't provide all the graphical management tools that SSMS does but all the stored procedures are available, naturally.
If you're on a Mac, i suggest [1] Hankinsoft's SQL Studio. I've been using it daily for a couple of years. It's very light weight and supports most db's. It has some neat functions too; like marking rows and columns, right click and get insert statements. It's not free, but for me, it has been well worth the price.
If you want something for quick data analysis, I would suggest looking into queryStorm [2]. It was on HN's front page [3] last week, but for it's C# capabilities. It started as as SQL query tool for excel. I have yet to try it but it seems very useful and fast. Although I don't think it has any column store caching.