Cygwin in combination with MinGW and the Windows native version of GVim lets me have almost exactly the same environment as I do on Linux and Mac OS X.
I agree, though, it's still better to have Cygwin, because you can alt-tab and such.
I use Cygwin to get approximately the same terminal environment in Windows as I do in Solaris, Linux and Mac. I have a suite of scripts to massage platform differences (e.g. Cygwin getclip / putclip vs xclip vs pbcopy / pbpaste, or cygstart vs open vs gnome-open / xdg-open / etc.). It means that in the terminal environment, I'm equally at home no matter what the OS.
I run Cygwin in rxvt. Using a better terminal than a Windows command window is a must; until I started using rxvt, I didn't even live in bash. Rxvt / bash combo uses considerably less memory, less startup time and less disk space - my dual-boot macbook air has Cygwin installed in the Windows 7 partition.
e.g., you might want to have a mostly unix-style build process that uses VC++ as the C compiler, and run it all inside Visual Studio using a makefile project.
I guess it might be a good idea to first check the disk using Windows after something like a power loss while the NTFS partition is mounted. But apparently NTFS-3G (one of the NTFS drivers) can also use the journal to recover the filesystem after a power loss.
(Yes, I know I should get a new job...)
I like the idea of Gow. Anyone know if you can achieve middle mouse button pasting as when you have X11 under cygwin?
I need a terminal from which I can operate on my Windows file system, but running an entire virtual machine is enormous performance-impacting overkill.