When running the non-X version of GNU Emacs in the “windows console”, also known as cmd.exe, the meta key doesn’t work in some contexts:
I suspect this is due to shortcomings of the Windows console, as opposed to a problem in Emacs or Cygwin. Note that there is no such problem with the X version. Standalone rxvt is better, but still not perfect. The best solution I’ve found so far is PuTTY.