Opening a native console is notably faster and lighter than booting a VM. Interacting with real system files, network ports, etc. is also much more convenient and less error prone than setting up shared folders and other trickery.
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If you're doing any real work in a console on Windows then you're in a world of hurt. The console itself is just awful compared to what you have available on a real, POSIX-compatible OS (Linux, OSX, etc).
This extends to SSH apps, too. Putty? Seriously? And implementations of tabbed and paned shells (the few you can choose from on Windows) are terribly ugly and clunky.
Windows 7 (and presumably 8) is a fine OS. I really had no beef with it. But as an engineer I spend far too much time at a command prompt to ever consider going back.
Also -- you don't boot your VM every time you want to use it. You keep it running in the background. Allocate 256MB of memory to it and forget it until you need to use a real shell.
Putty feels much lighter than Gnome Shell etc though.
Lighter in what way? I don't necessarily disagree but when I think putty i think:
No tabs and No panes so you're limited to using the OS window manager, and if you want to achieve multiple usable sessions at once you're going to have to arrange and resize these windows yourself or you'll have to use another 3rd party app.
No integrated private key authentication. You have to use like 3 GUI screens (wha?!?!?) to set this up and then you have to run a 3rd party app like pageant.
I had many other gripes before I switched (to a mac in my case) but I can't remember them anymore.
The "redraw" seems faster to me - that might be because of Windows.
I hate not having tabs too. About running Pageant, isn't that the Unix way? "Do one thing and do it well"? :)