I previously talked about build environments in Windows and promised to do some more testing of the reliability of certain tools. I turns out that the only set of tools which actually works as expected are the ones provided by Cygwin. I could not get the AT&T UWIN tools to install and they are just as heavy weight as Cygwin, which at least provides BASH. I thought the GNUWin32 tools had promise, but unfortunately they have problems with quoting, and don't provide make. I have also determined that MSys has similar quoting problems and a very outdated make.
There are a handful of other options, but Cygwin just seems to be the best. The real downside to Cygwin is that its setup tool that has a UI more suited to torturing its users than letting them install packages. Luckily someone realized that Debian got the model mostly right and created an apt like tool for Cygwin.
The site I linked to above suggests installing rxvt. The command they give to replace the Cygwin Bash shell link needs some help try adding -e /bin/bash --login -i to the end of it.
The comments over here also provide some potential terminal emulator and shell alternatives for Windows.