I’ve started using an open-source cmd.exe replacement called Console. It’s open source and living over at sourceforge (here). I was looking for a cmd.exe window replacement that would allow me to resize the window on the fly like an xterm. I didn’t find one, but this replacement looked so good that I kept it.
The only problems I’ve had with it are that it doesn’t allow you to resize and that it doesn’t handle being on a second monitor very well. Otherwise, it is pretty cool looking and it does transparency right.
I recommend it.