With the right zsh plugin, either of them will tab complete properly. (I think "osx" from oh-my-zsh is the one that does it on mine)

Edit: looks like this is actually built into zsh. Slightly surprised, but just goes to show I know almost nothing about the shell I use every day.

Yes but I use the default bash, as do probably most OS X users.

Check out Alfred[1] it supports tab completion.

[1]http://www.alfredapp.com/