An extensive write up on the features, advantages, disadvantages, and the use cases for each, is sorely needed.
* Powershell - Easy to use, typically comes with Windows, or not too complicated to install. Does plenty of unixy commands (ls, mkdir, all come to mind, not sure how many others). Definitely an improvement over plain old cmd, but sometimes it doesn't sync with system variables (could be a PEBKAC issue though) but it is definitely usable.
* Cygwin - Works great, I would say somewhere about the same as Babun (I think it's based off of it if I'm not mistaken, but with it's own tooling, packages are from Cygwin if I'm not mistaken), my only "complaint" was to do with how it installs and what not, I think you're asked to pick a mirror and packages, someone feel free to point out if my assumption is wrong or if this has changed, I think it's an alright thing, but I rather be able to not even think about what I want to install until after I've installed it.
* Babun - I honestly had a great experience using it, and definitely used it frequently enough, you would run a bat file and it would copy itself into your userdata folder when I used it sometime back, and came with plenty of the tools I wanted and it's own toys.
In the end I say try them all for yourself (if you can) and use whatever is best for you. I would recommend starting out by trying PowerShell before the rest of these because it already comes with Windows sometimes saving you time, but that's just a solution for lazy people.
In the end I ended up just going all in for Linux since my experimentation with these shells. If and when I go back to Windows (it's been half a year now or more) I'll likely use Babun or just plain PowerShell.