As the default cmd.exe on Windows is very limited and the plain xterm from cygwin is also not really an alternative there's a very nice console usable together with both, windows and cygwin: Console2
Install it as follows:
- Install Cygwin from http://www.cygwin.com/
- Install Console2 from http://sourceforge.net/projects/console/
- Add the following Tab Setting: C:cygwinbinbash.exe –login -i
The default key bindings are a little bit awkward but very easy to reconfigure. For Copy and Paste issues see this thread.