Yeah with GNUStep you can develop Objective-C on a Windows machine. However I wouldn't recommend that. Not because I want you to buy a Mac. No, it's because I did exactly the same thing and after a few "Hello Worlds" I tried to develop an calculator in Objective-C and it worked very well unless I wanted to compile it on a Mac. My whole code, which wasn't much for sure, was not working and errors came all over the place. I cant remember why but I was little nervous to have learned the wrong syntax.

If you don't have a Mac at home try to virtualize it and if you are serious about iPhone development then go and buy a Mac. Again not because I'm using a Mac no it is because it will make your live way easier and let's you focus on development rather than messing around with the environment.