I've had the opposite experience - I tried continue.dev and for me it doesn't come close to copilot. Especially with copilot chat having o1-preview and Sonnet 3.5 for so cheap that I single handedly might bankrupt microsoft (we can hope), but I tried it before that was availlable and the inline completions were laughably bad in comparison.
I used the recommended models and couldn't figure it out, I assume I did something wrong but I followed the docs and triple checked everything. It'd be nice to use the GPU I have locally for faster completions/privacy, I just haven't found a way to do that.