The default Cygwin terminal emulator is cmd.exe. Instead of replacing this with Putty as Athul suggests I’ve edited c:\cygwin\cygwin.bat to open a rxvt terminal with a nice font:

@echo off
C:
chdir C:\Cygwin\bin
rxvt -bg black -fn "Lucida Console-12" -e bash --login -i

Finally a decent terminal emulator with copy and paste the way it’s supposed to be!

If you’re like me you hate the default /cygdrive/c setup. To save me from typing cd /cygdrive all the time. I always run this one-liner on fresh Cygwin installations:

for d in $(/bin/ls /cygdrive); do ln -s "/cygdrive/$d" "/$d"; done

It creates symlinks from /cygdrive/c to /c for all your drives. Saves me from a lot of typing, every day.