The DOS shell mode works pretty much as advertised (i.e. seems to be a DOS version of the Unix shell mode), which means you get full cut-and-paste, simple command replay, the ability to do searches (regex searches no less) on sessions/buffers, tab-completion, and probably a few other things. I haven't used shell mode on Unix much myself-- finding it easier to open xterms in separate windows, one for the editor, one for the CLI.

I should also point out that the directory editor mode in emacs is also pretty much unchanged in the DOS/Windows port-- which may not be as pretty as the Windows explorer, but offers all the same features as the unix version-- which I've heard includes multifile search & replace and other handy things like that.

Again, I myself am not a power-emacs-user yet, just a wide-eyed convert. Now what I'd really like to see is a stripped down (no email, news-reader, Eliza games-- yes, the editor does Eliza), all-Perl version of emacs running in Tk. :)