The package is not available the CentOS or Scientific Linux official repositories, so to install it you'll need to setup a third-party repository such as RPMforge or EPEL; in alternative you can always download and install the rpm manually.
Examples of usage in which [TAB] means a press of the TAB key:
$ su # yum install bash-completion # source /etc/profile
base base64 basename bash bashbu
$ blk [TAB][TAB] blkid blkiomon blkparse blkrawverify blktrace
$ yum re[TAB][TAB] reinstall remove repolist resolvedep
$ yum info bas[TAB][TAB] basesystem.noarch bash-completion.noarch bash-doc.i686 bash.i686Once you enable shell completion you world... err.. your shell world... will change :)