I still have the same dilemma, with Maxima 5.9.3 and the native windows port of WinTexMacs 1.0.5. This particular configuration leads to all output variables being displayed as uppercase, which is both ugly and confusing. For a while, I had switched to Axiom just to take advantage of the nicer output formatting, but I prefer Maxima for ease of use and familiarity.
Unfortunately, I have not found an obvious work-around, and so I installed Unix TeXMacs under KUbuntu 6.06, which I run under windows with the free VMWare Player, so no rebooting is necessary. While not particularly economical on hard drive space, it is not much worse than installing Cygwin or CygTeXMacs under windows. Curiously enough, the on-line forums have seen some discussion of problems with Maxima under Ubuntu (or KUbuntu), with both xMaxima and wxMaxima failing to connect to the console app. However, the TeXMacs interface does not seem to share this problem, attributed to the underlying lisp compiler.
If someone has found a more elegant solution that would allow me to use the WinTeXMacs port, I would be grateful. I think TeXMacs is a magnificent interface that puts even the Mathematica front-end to shame, but the typesetting quality of mathematical output and the ability to intersperse text, code, and output in notebook format are the reasons for using the interface in the first place.