Oh this is what that is! I accidentally reach this mode now and then and wonder how I got there and what it does. I must be accidentally pressing q: instead of :q ! This is great and useful. Thanks!
You can get to search history mode this way too. E.g.:
q/ - Search string history
q: - Ex cmdline history
q? - Search string history
Also note that if you normally use Ctrl-C to exit Insert mode, that fails here as Ctrl-C will close the history buffer. You need to use Escape or Ctrl-[.