I've just recently had to switch back to doing development on a Windows box, after a couple years of using a Mac (and still using a Mac for my personal work).
There are many things that frustrate me. In particular, the Console (cmd.exe), even with with Cygwin installed, is horrible. In search of a better terminal, I came across Console2 http://bit.ly/bKPvqq .
It's better in a couple significant areas. You can completely resize the window - height and width. It's possible to do a cut/copy/paste operation without using that silly "Mark" command. There are tabs also, and you can setup separate menu entries for tabs in Cygwin and cmd.exe, in case you want to be able to switch between Cygwin and DOS.
Console2 has some nice eye-candy as well. Transparency on the window, for example; with different settings for when the console has focus and not.
This has really helped me be more comfortable doing command-line operations in Windows. Consequently, I'm a little less frustrated with having to use Windows for development.