Windows becomes a remarkably more useful tool for geeks when it has cygwin installed. I basically always have at least one bash shell open. Historically, I have just used it in a normal Windows console. However, there's a cygwin package which is a Windows build of rxvt that works without X, and I recently started using that instead (rxvt is a fairly slim terminal emulator). Life is a lot better.
You can paste with Shift-Insert. Copying just works (no weird screen-scrape "mark" mode). Emulation is good. The window is resizable. In short: I don't really know why I didn't switch before except inertia.
I use the commandline:
C:\cygwin\bin\rxvt.exe -sr -sb -sl 2000 -fn "fixedsys" -bg black -fg ivory -e /bin/bash -l