The bash completions scripts (see downloads in the middle of the page) offer an already rather advanced set. Those completions work flawlessly under Mac OS X; you simply need to follow the provided instructions and you are up.
You need an example? Well, then imagine typing ssh [TAB] and seeing all the IP addresses from your known_hosts file. But this is only one example; completion offers hundreds of possibilities to make your life on the CLI easier. Once installed, you can obtain a complete listing of all commands that have associated completions with complete -p.

