SSH's interactive file browser
sftp gives you an FTP-like interactive session over SSH. You connect once and then navigate the remote filesystem with familiar shell commands: ls, cd, get, put. Useful when you want to browse rather than know the exact path you're after.
Local vs remote commands
Inside an sftp session, commands without a prefix operate on the remote side. Commands prefixed with l (lls, lcd, lpwd) operate on the local side. get downloads, put uploads. Tab completion works on both sides.
GUI clients use this protocol
Cyberduck, Transmit, FileZilla all speak SFTP. Configure them with your SSH host (and optionally your ~/.ssh/config alias) and they treat the remote filesystem like a local Finder window. Same auth as your SSH config.