Maybe I'm the last person on the planet to learn about this, but I have new love for my command prompt. I live in multiple command windows all day long so I can't believe I haven't seen this before. I tested this on Vista and Win2k3.

F2 + character: Prints the last command up to the specified character
F3: Moves down in the history list
F4 + character: Deletes the current command up to the specified character
F5: Moves up in the history list
F7: Shows the command history which you can scroll through
F8: Start typing a command from your history and press F8. The most recent match will be autocompleted
F9 + number: Directly reference a line in the command history

I found these on accident when I fat-fingered something. What else am I missing?