Update - Visual studio code has this feature starting with version 1.21

Split terminals

The Integrated Terminal can now be split such that multiple are visible at once, which can enable much easier management of terminals when you need a watch and a run command for example:

_{Open the article to see the GIF demonstration.}

Splitting can be done by clicking the split button in the panel, through the context menu or the command Ctrl+Shift + 5.

....

Before VS Code introduced the feature

Inside vs code

You can configure your console to bash or cygwin, and then install and use tmux or screen.

Initial answer before I understood the question intent was to do it inside vs code

Outside vs code

On windows

I'm using Cmder. It allows opening multiple cmd tabs, and configure more types of command lines / tabs - such as bash, nodejs etc.

On Linux

I got to play a bit with tmux and I heard it's a good option.

Screen shot from google:

On Mac

As Brad stated - tmux works also on Macs, so have a look at the Linux section above.