For one, they are bitmap fonts, based on what you'd usually see in video hardware ROM. Using a thinner font would cause DOS applications (the first, and main thing you'd run in a DOS box) to look really bad. Remember they would use things from the (character set)[http://en.wikipedia.org/wiki/Code_page_437] to do windows and such in text video modes.

In the current day, the non-bitmap fonts such as Consolas don't translate well when using things like RDP or other remote tools. Partially because you lose things like font smoothing which make them more readable and partially because of compression artifacts obscuring characters.

This is probably the answer you're looking for:

http://blogs.msdn.com/b/oldnewthing/default.aspx?PageIndex=2...

TL/DR; The font has to support all the needed characters, plus not have have overhang etc which keeps the font from 'going outside the box'.

You know the cmd and ps fonts can be changed, right?