For me it's mostly the ease (or lack of ease) of managing tools and dependencies. Homebrew, RVM, Pow, zsh, MacVim (or TextMate if that's your thing), et al. are amazing, not to mention all of the built-in packages.

I'm aware that some things are usable via cygwin, but in my experience it's a huge pain and doesn't work with a ton of stuff I need anyway. I really don't like spending time futzing around with things if I don't have to, I just want to be able to "brew install redis" and be on my way.