It's been a while since I used Windows so I can't really comment on the current state of Cygwin but the one thing that I still recommend Cygwin for is to use the X server if you want to log on to a *nix box and run something graphical.
The supplied hardware at these gigs didn't really have the spec for spinning up VMs - this also spared me from fiddly network and other shared resource setup.
I even had a "portable" cygwin install on a USB stick.