Every software these days focus on having tabs to help you easily manage multiple files or browsing session in a single instance, the tab functionality though it restricted to browsers, PDF file viewers, text editors etc.
For applications such as command prompt and cygwin, there are very less alternatives for tabbed interface, being a programmer I prefer using tabs since it eases managing multiple sessions / windows and adds to my productivity while dealing with CLI interfaces.
Related: Tabbed Interface for Putty
I have been using a nifty open source application called console for running command prompt and cygwin as tabs as opposed to single windows. It definitely helps save a lot of time if you are developer and rely more on using command prompts and cygwin bash prompts.
Console runs as a standalone application and does not require any installation, it is distributed under the GNU license and free to use for everyone.