Navigating in Vim's Command Mode

Solution 1:

Adding to Greg Hewgill's answer, you can use q: to open the command-line window, where you have any Vim editing power at your hand.

Solution 2:

Some from the Vim help:

CTRL-B or <Home>
        cursor to beginning of command-line
CTRL-E or <End> 
        cursor to end of command-line
CTRL-H              
<BS>        Delete the character in front of the cursor (see |:fixdel| if
        your <BS> key does not do what you want).
<Del>       Delete the character under the cursor (at end of line:
        character before the cursor).
CTRL-W      Delete the |word| before the cursor.  This depends on the
        'iskeyword' option.
CTRL-U      Remove all characters between the cursor position and
        the beginning of the line.  

Solution 3:

I have these in my .vimrc

cnoremap <C-a> <Home>
cnoremap <C-e> <End>
cnoremap <C-p> <Up>
cnoremap <C-n> <Down>
cnoremap <C-b> <Left>
cnoremap <C-f> <Right>
cnoremap <M-b> <S-Left>
cnoremap <M-f> <S-Right>