I didn't know Microsoft had a stand-alone compiler, but I'm not even sure what such a thing would be used for other than to be embedded in some other software.
How is cygwin any better than a package manager like MacPorts or Homebrew?
If you're having this much trouble with shared libraries, you're doing something quite odd. They're usually less obnoxious than their equivalent .DLL files.
Apple has gone to great lengths to get fully POSIX certified. As far as the libraries go, they're nearly identical to their Linux or BSD counterparts. The number of platform-specific issues you'll have to deal with when using standard versions of the libraries are usually small.
In looking through open source, I always see a lot more of `#ifdef WINDOWS` than I do for anything OS X specific, especially in the networking and threading departments.