ConEmu - a Console Emulator for Windows That You Need Now

You owe it to yourself to download ConEmu. It removes all the awfulness of the standard Windows cmd terminal. Things like selecting text are much easier and more natural.
By default to copy text from the console you execute hold down the left-shift key (it's different than the right-shift key), then left-mouse button to highlight and it selects over the carriage returns. If you like block copies select alt-left-click.
I recommend a few changes: Open the Settings Window by selecting the right-most icon with three bars:

Select "Keys & Macro"/Paste/ and set "Confirm pasting more than" to 20000 chars and uncheck "Confirm <Enter> keypress" so it does not nanny you to death by asking if you know you have an <enter> in your selection.
Select "Main/Confirm" and uncheck the top 5 boxes so you won't be nannied to death.
Optional: To prevent a hotkey collision with Mezer tools, remove the hotkey for Win-S by going to "Keys & Macro", select Win-S and reassign the hotkey.