Stata is a terrific software package for doing applied econometrics. Until the release of version 11 it had no syntax highlighting in its do-file editor at all (this feature is still not available in the Unix version of Stata). Syntax highlighting is extremely helpful in writing long do-files, however. So I have found two workarounds, both of which involve using external editors.
The first solution involves Notepad++. Here is the guide on setting up the whole thing, as well as the archive that I mention in the guide. This solution works perfect, except for the fact that Notepad++ only works on Windows machines.
The second solution, therefore, involves a Java-based application jEdit, which works under any OS. I do not have a detailed guide on setting up Stata syntax highlighting in jEdit, but the Notepad++ guide, together with jEdit's help file, should be enough. Overall, jEdit is a terrific text editor which I highly recommend.