Having your website Offline while developing the site is very important.
I usually work on a production enviroment and not locally. Setting up configs, categories, attributes and all stuff I like to do it in the final enviroment.
Magento has not this necesary feature in his core so we will need an extension.
The extension I’m recomending you is Maintenance Page – ArtsOn.IT. Even if it says is for the 1.3 version don’t worry I tested it in the 1.4 version. And of course is free.
You can download the extension from the Magento Connect Repository