I work about 15 minutes from Coldstream, and work with two people that live there! I even play golf there on occasion!
There are loads of places in the area
If you go to Berwick upon Tweed, then head towards the border, looking back on a clear morning you should be able to see Holy Island, which is separated from the mainland by a causeway. As I've only recently upgraded to an SLR, I haven't yet had the chance to try it out, however you'd probably need a sizeable zoom as it's a good few miles away. Holy Island itself has a castle (of sorts), and is a nice little village where there are numerous beaches, etc.
Berwick upon Tweed has a path along by the River Tweed which is quite nice during the day. Also, there are 3 bridges in a row so if you can find a position to get all 3 into a shot, that's usually quite good. At night the new bridge (middle of the three) is underlit with a purple lighting.
The Hirsel golf club at Coldstream is quite impressive, it claims to be the Augusta of the Borders, and if you go into the Hirsel estate (instead of the golf course entrance) has huge trees on the left as you drive in so if you can incorporate something to give a scale that'd make a nice shot.
If you want to get out into the wilderness, then head over to Duns, then head for Cranshaws. I'm really not sure how that will look in the winter, and getting out there on a frosty day will be hairy as it's pretty tight roads.
Seascapes:
Nearest places are Berwick upon Tweed which has a pier with lighthouse on. Then if you head north Burnmouth has a really steep drive down to a tiny harbour, very old fashioned (last time I was down there anyway) then north again to Eyemouth. It's where I live and has a reasonable sized harbour. If you were to head to the golf course, you can photography Britain's Most Extraordinary hole where you tee off across the North Sea. On a rough day the waves are crashing over the rocks below which, if you dared to venture down the hill, you might be able to get a useable photo. North again is Coldingham Beach where you may find some surfers and St Abbs which has a picturesque little harbour. St Abbs also has a lighthouse however as far as I know vehicular access is now prohibited due to the condition of the road.
If you want to head south of Berwick upon Tweed then there are Holy Island (check crossing times as the causeway is covered at high tide), Bamburgh and Seahouses. I can't really help with those as I try not to venture further south than I have to
I'll post up some photos of the area.