I hear that a program called with-readline will allow the standard OpenSSH command line program sftp to utilize tab completion. I cannot verify that it works, but I've been wanting that same functionality for years now.
info on with-readline and sftp:http://www.greenend.org.uk/rjk/2005/withreadline.html
with-readline link:http://www.greenend.org.uk/rjk/2005/with-readline-0.1.tar.bz2
Let me know how it works for you.
