The default Cygwin installation uses the same command window as the Windows command prompt. Which is a little clunky, to say the least. Specifically, cutting and pasting text is a pain in the rear. You have to jump back and forth to the menu to cut and paste text. It is slow, clunky, and annoying.
The solution. Install rxvt with Cygwin. This is a terminal emulator that gives you all those cool cut and paste shell features on Windows. Just install rxvt from the shell options as part of your Cygwin install. Then, create a batch file like this in your Cygwin directory.
start rxvt -sr -sl 10000 -fg white -bg black -fn Consolas-20 -fb Consolas-20 -fm Consolas-20 -tn cygwin -e /bin/bash --login -i
I called my file,
term.bat. Run the bat file and you get a bash shell and window that behaves just like it would on Linux or a Mac. Yays!
Credit to c2.com for a pointer that got me started on this.