mintty is an option — http://code.google.com/p/mintty/

Better Cygwin Terminal

mintty is an option — http://code.google.com/p/mintty/ «Mintty is a terminal emulator for Cygwin and Cygwin derivatives such as MSYS. It can be downloaded from here or it can be installed through Cygwin’s setup.exe program, where it can be found in the Shells category. The Cygwin installer creates a shortcut for mintty in the Windows start menu.»