I'm using console2 as my shell for cygwin and control-C is not working.
I have made sure that control-C is not being used as a hotkey in my console2 settings.
This is how I run cygwin from console2
D:\Programs\Cygwin\bin\bash.exe --login -i
To check for yourself, do
ping google.com -t
and try to interrupt it with control C.
Here is my console2 console.xml file, http://pastebin.com/mZ3yHe6D
This was a bug in cygwin, it should be fixed in the upcoming cygwin release (1.7.17), see here
Update: 1.7.17 was released on Oct 20, 2012. The problem is indeed fixed now.