2011-Nov-24: Exciting news! mintty is now the default cygwin shell.
…mintty has become part of the default installation, setup will create desktop and start menu shortcuts called "Cygwin Terminal", which point to mintty, starting your default shell as noted in /etc/passwd.
Let’s face it, cygwin is neat but the console (or, terminal emulator, if you prefer) it launches is lame. I’m not referring to bash, but rather the normal – and thus lame – Windows command box. Things just don’t feel right… some keys don’t work as expected and forget about making the window wider. Fortunately, there is a better way!
If you use cygwin, you owe it to yourself to try one or all of them immediately. And by that I mean stop reading and start downloading. Now.