Bash can auto complete your filenames and command name. It can also auto complete lots of other stuff such as:
=> Usernames

=> Hostname

=> Variable names

=> Fine tuning files and names with ESC keys

Match variable

If the text begins with $, bash will look for a variable. For example, open terminal and type echo $T and press TAB key, shell will complete that to echo $TERM:
echo $T {hit-tab-key}

Match Username

If the test begins with ~ (tilde), bash will look for a user name. For example, open terminal and type cat ~g and press TAB key, shell will complete that to cat ~guess/file.txt:
cat ~g {hit-tab-key}

Match hostname

If the test begins with @, bash will look for a host name. For example, open terminal and type scp file.txt [email protected] and press TAB key, shell will complete that to scp file.txt [email protected]:
scp file.txt [email protected] {hit-tab-key}
Please note that you need proper host resoultion configured to work with this hack via NIS or hosts file. Also after shell completes the command name / username or filename hit the [ENTER] key.

Fine tunning Shell Completing stuff with ESC key

Bash allows you to fine tune file completion using ESC key combinations. People get amazed when I use ESC combination in front of them. For example, to inserts all possible completions into your command use ESC+*. Let us see how to backup all /etc/*.conf files, type the command:
tar -zcvf /dev/rt0 /etc/*.conf {hit ESC followed by *}
As soon as you hit Esc+*, shell replaces the /etc/*.conf part with names of all matching wild card patterns
tar -zcvf /dev/rt0 /etc/aatv.conf /etc/adduser.conf /etc/apg.conf /etc/brltty.conf /etc/ca-certificates.conf /etc/cvs-cron.conf /etc/cvs-pserver.conf /etc/debconf.conf ....

To displays all possible completions of command or filenames or username type ESC+?, to display all username start with the word le, type
cat ~le {hit ESC followed by ?}

complete command

There is also in built command called complete. It is used to specify how arguments are to be completed for a command. For example, when you type passwd (or any other user admin command such as su / usermod etc) and hit tab key, bash will show you a list of all available users i.e. all user admin related commands will see only user names:
complete -u su usermod userdel passwd chage write chfn groups slay w
Now type passwd and hit tab key to see all username:
passwd {hit tab key}
Output:

avahi          bin            dhcp           gdm            haldaemon      klog           mail           news           root           sys            uucp
avahi-autoipd  cupsys         dnsmasq        gnats          hplip          list           man            nobody         sshd           syslog         vivek
backup         daemon         games          guest          irc            lp             messagebus     proxy          sync           telnetd        www-data
[email protected]:/tmp$ passwd 

Cool, huh? There is a nice file included with almost all distro to complete lots of stuff using complete command. Just add following line to your bash startup file:
source /etc/bash_completion

Further reading:

• Bash man page and complete command section
• /etc/bash_completion file