I prefer the Unix command line everywhere. MSYS gives you a Unix shell, and all the Unix tools, built right on top of win32. I haven't used it in years, but I understand Cygwin is quite a bit heavier.

The cmd.exe terminal is atrocious. Even if you don't want to use Bash, Console2 gives you things like tabs, and you can resize the window normally.

tldr; It's not slower, it doesn't involve more typing, it gives you a sane Unix command-line experience on Windows.