You can actually add more fonts, though it requires editing the registry and doesn't work for all fonts, I think. It does let you at least get Consolas, which is good enough for the time I spend in cmd.

http://keznews.com/3308_Adding_fonts_to_cmd_exe

Or you can use http://sourceforge.net/projects/console/ and you get other nice features as well

On Windows 7, you get Consolas as well -- and you can always edit the registry, as skermes pointed out.