# completion of .ssh/hosts
_hosts() {
    local expl hosts

    if ! zstyle -a ":completion:${curcontext}:hosts" hosts hosts
    then
	(( $+_cache_hosts )) ||
	: ${(A)_cache_hosts:=${(s: :)${(ps:\t:)${${(f)~~"$(</etc/hosts)"}%%\#*}##[:blank:]#[^[:blank:]]#}}} 
	(( $+_cache_sshconf_hosts )) ||
	: ${(A)_cache_sshconf_hosts:=${${${(M)${(s:# :)${(zj:# :)${(Lf)"$([[ -f ~/.ssh/config ]] && <~/.ssh/config)"}%%\#*}}##host *}#host }/\*}}
	hosts=( "$_cache_hosts[@]" "$_cache_sshconf_hosts[@]")
	_wanted hosts expl host \
	    compadd -M 'm:{a-zA-Z}={A-Za-z} r:|.=* r:|=*' "$@" -a hosts
    fi
}

This was covered last year here:
http://www.macosxhints.com/article.php?story=20080317085050719

See the comments there for aliases for other shells.

Here's a better idea -- just install bash_completion:

http://www.caliban.org/bash/#completion

It does all kinds of clever things, with hostname completion just being the start of it. It's also clever about things like handling svn/cvs commands & paths, handling archives, etc.

I've had it installed via Fink for a while now, but if you don't care for Fink, you can always just download the raw source tarball from here:

http://www.caliban.org/files/bash/bash-completion-20060301.tar.gz

The README document describes how to set it up, but it's mainly just a matter of putting it somewhere sensible (/etc) and then editing your ~/.basrc file to load it at launch time.

For frequent connecting it is easier to make an app via Applescript Editor to call Terminal and execute an "ssh -l user -p port host" and save it somewhere convenient.

$ cat ~/.hosts
server1
server2
$ export HOSTFILE=~/.hosts
$ complete -A hostname   rsh rcp telnet rlogin r ftp ping disk ssh

I've used a .hosts file for completion for years, but switching to Terminal and opening a new window? Who has time for all that nonsense? So, I wrote a Quicksilver plug-in to speed things along. Just type a couple of characters of the hostname (they don't have to be contiguous) and hit ↩.

http://github.com/skurfer/RemoteHosts

Look under Downloads for an already-built-and-ready-to-install copy.