I'm generally a Linux user, but I've grown to appreciate OS X's keyboard shortcuts. Cmd-C will copy text on just about any OS X app including the terminal and emacs. On the Linux terminal, you have to use Ctrl-Shift-C to copy (to avoid sending SIGINT to the current process), and God forbid you ever need to copy anything in the Windows terminal.
I just tried to do that on a Win7 machine sitting next to me and it didn't work... it doesn't seem to let me highlight anything at all? I normally wouldn't comment about something like this but I wanted to do this literally 10 minutes before I read your comment. Anyway I don't think it's controversial to suggest that the stock terminal on Windows kind of sucks, although I gather that PowerShell is pretty good.
Hit alt-space (?) or click in the top left corner to open the system menu (?).
It has menu items for copy and paste; 'Properties' allows one to enable a more useful way of copy/paste (QuickEdit mode, IIRC).
It isn't enabled by default in case people want to run DOS apps with mouse support. Someone should start a pool for people predicitng when this default will be changed.
It's not that it's terribly hard, it's that it's annoyingly different from most other places in the system. Just one more thing to remember.
Oh and it's a bit error prone too - I can't remember whether this is different on newer versions, but it at least used to be too easy to accidentally close your window if you misclicked while doing a copy or paste. On a laggy remote connection this can be particularly annoying.