What I would really like is to be able to run the compiler from code, allowing me to keep .coffee files on the server and compile/cache them into javascript when browsers request them.
It also handles .less, but I haven't used this yet.
Server-side on Windows... not sure, IronJS / JScript.NET I believe?
And if you don't want to use vs2010, there is also gedit on windows which has support for coffeescript.
As for online, what I do is I have an online coffeescript editor (http://ace.ajax.org/), and when I save a file (with extension .coffee), compile it to js in the browser and save both the original .coffee file and .js file back to the server.