Trying the free blog editing client app Bleezer - it's a cross-platform java app. A little rough around the edges, but has a pretty decent UI (but categories are provided in a popup, so you can select only one category for a post).
The editor is not WYSIWYG, but toggles to preview mode easily. It doesn't grok the convention of skipping p and br, so the preview is spaced oddly. The app provides an interface for direct FTP uploads of images etc. as well.
This one's close, but still isn't exactly what I'm looking for. Back to the WordPress web UI...
So far, Performancing and Flock are the closest thing I've seen to an ideal blog management client app, but even that doesn't make me hate using the WP web UI...