After typing sudo I can no longer autocomplete commands by pressing Tab
OS X has not turned ON as many completion possibilities at the guys behind Ubuntu. In order to add autocompletion to sudo, you should simply add to the file $HOME/.bash_profile

complete -cf sudo


The description of complete and its options is briefly defined in the bash built-in commands manual page (see man bash). Although the -c and -f commands are not obviously detailed, one can find their description under the "-A action" explanation.