SGML is a text format, so you can write SGML documents using whichever editor you prefer.
If you use emacs, you can benefit from an emacs SGML mode called psgml. This can help with simple things such as automatically inserting appropriate closing tags, all the way up to validating your document.
There are no free SGML editors that I'm aware of, but free XML editors are appearing. There is now an XML version of the Starlink DTD, so if you want to play with these, you can. Note, however, that the XML version of the DTD has not yet been used extensively, so there may be problems to be uncovered.