You need to set up a couple of key bindings. Go to Preferences->Settings->Keyboard pane in your terminal application. Add the following key bindings:
option + cursor leftto
option + cursor rightto
When you re-launch the terminal you will be able to move one word to the right pressing
option + cursor left and, analogously, one word to the right by pressing
option + cursor right.
For a more thorough discussion check the excellent thread on Stack Overflow