cmd.exe can complete file and directory names. Well, most of the time anyway. And it has a (not very smart) history of the commands you previously typed. But thats just about it.

Modern unix shells are way smarter and more flexible than that. Take this introduction for bash for example (part 2 is here): You can configure it more or less any way you like. A look at the bash manual reveals a ton of other possibilities as well.

And there's a bunch of other smart shells out there as well. On Linux/Unix just pick what you like.

On Windows, you have to install Cygwin... To be fair, Windows was not designed to be used from the command line while Unix was. Windows was actually designed to move the User away from the command line - which didn't work out so well. In the last few years Microsoft reversed direction and started projects like the PowerShell. And now they are moving to JavaScript ;-)