I am curious what terminal people use on Windows. I find MSYS to be very good, since it lets me work just as I would on Linux with Emacs-style editing.
Besides Console2 mentioned in another comment, there is also ConEmu (https://code.google.com/p/conemu-maximus5/), which incidentally has support for Clink (again mentioned in another comment!)
PS: There is also a somewhat extended version of Console2 here by a different author: https://github.com/cbucher/console which I like.