PuTTY is so much better just at the UI level than Window's command prompt that I wish stuff like Cygwin and msysgit could use it instead. Unfortunately it doesn't seem the code is very modular.
Their default color scheme (black on white) is something I change right after install, but having tabbing and hefty scroll buffers is nice.
Just have the cygwin SSHd port running (which I tend to want installed and configured for other reasons anyway) and use PuTTY to connect to that.