The main advantage over a VM is no resource partitioning: on a 4GB RAM tablet with 64GB eMMC, you can't allocate more than 2GB RAM to a VM without trouble, and putting 20GB of disk aside for it is also a pain., and much improved power efficiency (even an idle VM drastically reduces battery life, while Ubuntu for Windows doesn't).
Compared to Cygwin: a lot more packages are available, a lot more just works out of the box, and you can painlessly use online tutorials for Linux, which often assume Ubuntu and don't consider Cygwin a target platform.