I've just read Making a better, somewhat prettier, but definitely more functional Windows Command Line, and tried a couple of his suggestions, since I'll be using Windows a lot more.
I already knew (and had installed) Git-For-Windows (I called it git-bash :), which is incredibly cool, since it installs bash and a bunch of Unix commands (including ssh, and which :) and have been using MobaXTerm (which also includes an XWindows server, and so it's great for communicating with Linux servers (and I know I will be learning powershell :)
But I got to try Clink which is simple but amazingly useful; it embeds Gnu's readline into cmd.exe, so your command terminal uses tabs for autocompletion (and shows the choices, like bash does), and uses 'normal' (well the ones my fingers know :) keybindings, like Ctrl-A to go to the beginning, Ctrl-E to go to the end, and Ctrl-R to search your history.
I also installed Gow, which installs a bunch of Gnu utilities; I didn't find it that useful, since most of them come with git-for-windows, but includes wget (which I always use :) and adds a menu to the file manager that allows you to open a command prompt in a given folder, which is useful.