Open/create lightning component in Force.com IDE

Use https://atom.io/ IDE

Steps to install mavensmate plugin in ATOM tool. https://atom.io/packages/mavensmate-atom and open org in atom tool and save your workspace.

Yes As suggested by @Martin For eclipse

Open your project in eclipse. In your project open package.xml

You can add using below code

<?xml version="1.0" encoding="UTF-8"?>
<Package xmlns="http://soap.sforce.com/2006/04/metadata">
    <types>
        <members>*</members>
        <name>AuraDefinitionBundle</name>
    </types>
    <version>35.0</version>
</Package>

Save file and take refresh from server. You can see aura folder is created with all lightning component.

Thanks to @martin