I'm not aware about bash but it's a selling point of the[zsh][1] shell. 
Personally I prefere zsh over bash so I'd advise trying it.

Part of my `~/.zshrc` that deals with history:

 SAVEHIST=10000 # Number of entries
 HISTSIZE=10000
 HISTFILE=~/.zsh/history # File
 setopt APPEND_HISTORY # Don't erase history
 setopt EXTENDED_HISTORY # Add additional data to history like timestamp
 setopt INC_APPEND_HISTORY # Add immidiatly
 setopt HIST_FIND_NO_DUPS # Don't show duplicates in search
 setopt HIST_IGNORE_SPACE # Don't preserve spaces. You may want to turn it off
 setopt NO_HIST_BEEP # Don't beep
 setopt SHARE_HISTORY # Share history between session/terminals


 [1]: http://www.zsh.org/