[TylerE]

FYI: http://www.hanselman.com/blog/Console2ABetterWindowsCommandP...

Will happily run a cmd window, or other command you supply (e.g. I run a cygwin zsh)

[vickm]

I recommend checking out ConsoleZ which is a fork that looks very promising and has a github repo that has more traffic than the sourceforge console2 project.

[nitrogen]

For anyone looking for old and mature options, xterm on a rootless Cygwin X server works quite well.