After looking for quite some time for a solution, I just found this post the other day on Jason Young's blog at http://www.ytechie.com/, explaining how to enable font smoothing on XP Remote Desktop server.
Consolas font was looking very jaggedy when connecting through Remote Desktop to my XP development box (btw, as an alternative I can recommend Lucida Sans Typewriter ;-), although I've tried both Standard and ClearType font smoothing settings, they were completely ignored.
This registry fix will enable font smoothing through Remote Desktop (remember you need XP SP3!!!), and the good news that Consolas still looks great in Standard mode, you don't need to enable ClearType for the entire session, unless of course you like it better that way.
Select the three lines below yourself, save them into a .reg file and then open (run) the file on the XP "server" machine, or download and open from here. Reboot the XP machine when finished and set the font smoothing per your liking.
Windows Registry Editor Version 5.00