How to copy text from the cmd console and keep the formatting (with color)?

The PowerShell folks, on their blog, posted an article titled: Colorized capture of console screen in HTML and RTF

Once it's in a RTF file, with colors, open the RTF with Word or OpenOffice and copy the text to your target application.

As PowerShell is a nice replacement of cmd.exe with a lot more features, give it a try.