I've often wondered that too. Console2[1] is the best alternative I've found for cmd.exe. Mintty[2] is a decent alternative to Cygwin.
[1]: http://www.hanselman.com/blog/Console2ABetterWindowsCommandP...
[1]: http://www.hanselman.com/blog/Console2ABetterWindowsCommandP...
You seem to be confusing terminals (programs that provide a text environment) and shells (usually text-based, often run inside a terminal). Mintty is a terminal. cmd.exe is a shell, but will spawn Windows' own ANSI terminal when asked. Cygwin's bash will also spawn Windows' own terminal when run without one. Fish is a shell, and needs to be run inside a terminal.
Console2 is different again. As I understand it, it wraps Windows' terminal, providing some extra features.