I, too, agree with Jason about developing locally and then uploading. But, with that said, I actually like for my host to provide me with the ability to have a remote connection so I can use a database management tool on my machine to manage the database.
Typically, some hosts will allow you to add your IP to your hosts database server to allow your machine remote access. I find this to be the ideal setup, especially if the host uses the typical "localhost" configuration. You can then create your machine's testing server DBs all to configure to localhost and exactly mirror the online DB. Then after getting your application running well on your testing box, just be sure to export the data and then import it onto the online DB, upload your files, and your good to go.
If you're looking for a good host to do this, there are several out there. I have had great experience with Site5 (their customer support has been great for me) and Little Oak.