The standard terminal that comes with macOS and most Linux distros is fine (by the way, Command Prompt for Windows is not). But why settle for fine, when you can get something even better?
A better Terminal.app
As I mention on my setup page, iTerm 2 is basically a better version of the default macOS terminal. There’s a whole host of nice features, but the main reason I use iTerm 2 over Terminal.app is because of split panes. Terminal.app only supports split panes of the same shell, whereas you can basically have different shells (like new tabs) but in the same window with iTerm 2. It sounds like a small thing, but it can make a fairly big difference in terms of productivity for me.
A better shell
You’ll probably start with the bash shell by default, which again is fine. But stuff like Zsh (which I’ve tried) and Fish (which I haven’t) feature many small quality-of-life tweaks that make things easier. For Zsh, there’s the Oh My Zsh framework that makes it really easy to extend the functionality of zsh (much like configuring Vim, actually).
A better set of colors
Terminal starts with a black on white color scheme. It’s fine.
I use the Solarized Dark colorscheme. It’s better (for me at least). There’s a million different color schemes out there, and installation is generally pretty easy so you can play around with a couple.