It would be much more useful if you can make an scp with autocomplete by pressing tab in the terminal.
scp root@host:/long(tab)_file_name .
Funny you mention it, I actually have this working! (http://i.imgur.com/8VBYDd4.png)
You can check out my dotfiles (https://github.com/christianbundy/dotfiles), but I'm pretty sure that the functionality came standard with one of my Zsh submodules, Prezto (https://github.com/sorin-ionescu/prezto).