I am interested in your library and seeing it become a part of Boost, however I agree that history, search, auto-complete, etc being integrated into the library would be key to making it a more useful addition. I'll look into that…
I can understand the header-only motivation, but have you considered using SWIG (http://www.swig.org/) to wrap you C++ in your favorite scripting language and then simply re-using the interactive shell provided by that language? Honestly not, as providing a way to interop with a scripting language was not part of the original idea… (I'm not even that much a fan of scripting languages…)
(example: http://www.youtube.com/watch?v=VHFu6q1twtE ) Looks nice, but it seems you focused far more on the "programming language aspect" than my original design was. You see I developed my first design based on experience in a product I'm working on in my job, where we offer a console in addition to the GUI for faster input. That console is deeply integrated into the program and was never really designed from the ground up to be reusable…
About the interface, I'm not sure if a command should be defined only by a simple std::function. I've tried it before but I wasn't able to make it work as more information were required. Maybe I should have explained that a bit more: the command-class uses a std::function internally to store the callback that's to be executed, it's not a std::function.