I just found this handy product called WebDrive. It allows you to map a path on a remote SFTP, webdav, FrontPage, or GroupDrive server to a drive letter.
I'm connecting to a remote server over SFTP and its pretty fast (faster than RDS over https). Not sure why windows only allows you to map UNC paths to drive letters natively, but this is something I have been wanting to do for a while, and its only $40 bucks.