Install Pythonwin from your installation CD, it provides a better IDE than the normal one...of course you could progress to better IDEs but you can customize Pythonwin to suit most of your needs
I was talking about pythonWin, sorry. It's easier for me to write directly in the python editor rather than from arcMap/Catalog. It can be installed from the arcGIS installation disk, but doesn't install by default.
As for your original question about customizing the python window in ArcMap - yes. Right click in the window and select "format". You can change font style/size as well as color.
I'd never recommend fooling around in the registry - but if you're savvy 🙂 you can export the registry for the PyWindow and make that a "script". I take my registry export and just double click it on whatever machine I'm on to get "my" Python Window.
After modifying the Py Window in ArcMap, take a look around HKEY_USERS\< users >\Software\ESRI\Desktop10.0\ArcToolbox for the keys. (at your own risk of course)