Microsoft has made the Consolas font family available as a free download. Consolas is is a fixed width font, like Courier New or Lucida Console. It is intended to be used in Visual Studio 2005 and greatly improves the legibility of your code when compared to these other fonts.
Scott Hanselman has a screen shot of Consolas in this blog entry. In 2005 he explained how to use this font for console windows, but at the time the font was only distributed with Windows Vista. Now you can use it in Windows XP as well.
I installed the font in a Virtual PC with Visual Studio 2005 today and was at first disgusted with how bad it looked. Then I remembered that this font really requires that you turn on ClearType. When ClearType is enabled it looks perfect.