BBedit Follow up
Since it may seem like I have been hard on BBedit lately, I'd just like to say that despite the problems I was having, I thought they were an awesome company, regardless of whether or not their product fits my needs exactly, simply because they were so fast to respond to my questions, and gave such long in-depth answers. Regarding the issues I have been whining about, this is their latest answer:
If you are working in Japanese, then the Yen symbol and the backslash are interchangeable, and the Japanese Industrial Standard dictates that the character x5C (a backslash) should be rendered as a Yen symbol.If you got a 'backslash' character when typing the Yen symbol on a Japanese keyboard (or it's equivalent on an English keyboard when a Japanese encoding is selected) then we'd treat that as a bug.
If aren't writing Japanese script (Katakana, Hiragana, Kanji, etc) then you really shouldn't be using a Japanese font or encoding because of exactly these kinds of concerns, but instead using a font which is suitable for the language that you are working in.
For example, if you're coding in English then fonts like Monaco and encodings such as Mac Roman or ISO Latin 1 display the encoding x5C as a backslash, which sounds like what you are looking for.
BBEdit Lite doesn't have encoding switches like BBEdit 7.0.2 and higher have, so the only encodings that will be available are Mac Roman and, if a Japanese font is selected, Shift JIS.
In Mac Roman encoding - the default encoding for BBEdit Lite - the backslash is rendered as an ASCII backslash. In Shift JIS it is a Yen symbol although the encoding is the same. Although you can get BBEdit Lite into Shift JIS by selecting a Japanese font, the editing window doesn't understand double-byte characters and trying to select a character can be difficult. If you're working with Japanese then you will get better results out of BBEdit 7.0.4 or TextWrangler as they are able to support Japanese encodings both in the editing window and thoughout the application including multifile searches and in most of the tools.
Despite the ability to display and (to some degree) edit Japanese in the editing window, BBEdit Lite only uses Mac Roman in the search window's fields (unless you force it to accept Japanese by using the Koteri FEP's inline editor in which case you will get a Yen symbol). That's why in BBEdit Lite you see a backslash even though your editing window is in Shift JIS encoding. If you were searching for Japanese and typed the backslash in the Koteri FEP then you would have seen a Yen symbol instead.
This was a bug which we have fixed in BBEdit 7.
In BBEdit 7.0.4 the search window matches the encoding for the "Search For" and "Replace With" fields to your editing window, so if your editing window is in Shift JIS encoding then typing a '¥' character in the search window will result in it being treated as a backslash.
I'd just like to point out that despite what they say in that last part about the search window, I am not able to use the grep search function with a yen mark instead of a backslash. Fortunatly, after turning off Unicode input, I am able to input a backslash in the search box. However, as Dirk pointed out, if I have '¥d' in my document, and search for '\\d', I get zero results (it should match every instance of '¥d'). So it is still a bit buggy, but I can handle that.