There’s a wee street linking Stockbridge to Edinburgh’s New Town that is stupidly steep, and is cobbled too. It’s only about 100 yards long, but I struggle to think of anything steeper.
Just outside Edinburgh there are good climbs up Polton Brae (I think it’s called) and also from the A7 up to Soutra Aisle. Down in the Borders the Swire is my favourite, especially climbed from the south. It just has a great feel to it.
Overall though, Kirkgate Hill in Currie is the best for hill training.
If you don’t mind going off-road, the fireroads at Glentress can be used to do some huge climbs, and could be done on a cross bike.