With Cygwin, your home directory should be your WINHOME (I'm doing this from memory, bear with me), so, in fact, your cd would be

    cd Desk<tab>bla

or, worst case,

    cd ~/Des<tab>bla

Running programs is also a tiny fraction of what bash can do - it's a full (well... almost) fledged scripting language and you can do things like loops, conditionals and other stuff. Before I discovered watch, I'd do things like

    while true; do df -h ; sleep 10 ; clear ; done

Also, the PuTTY-based console has a lot of niceties when compared to a plain console window - it's prettier, you have better font controls and better clipboard integration.

In my default cygwin install, my home directory was C:\cygwin\home\mkopinsk. I just changed it (in C:\Cygwin\etc\profile) to /cygdrive/c/Documents and Settings/mkopinsk so hopefully it should be a bit less painful now. I will consider switching to a non-cygwin solution in the future.

That's odd. What version of Windows are you using? Last time I used Cygwin (XP or Vista, can't remember), the home defaulted to the Windows home.

XP. I don't remember changing any options in setup.exe, but who knows. Bottom line it's fixed.

Use MSYS (part of MinGW) and Console2 (set bash as shell).

cd /c/Doc<tab>/mkop<tab>/Desktop/bla

This doesn't answer my main question, which is WHY? What do these tools do better (enough to matter)?

I prefer the Unix command line everywhere. MSYS gives you a Unix shell, and all the Unix tools, built right on top of win32. I haven't used it in years, but I understand Cygwin is quite a bit heavier.

The cmd.exe terminal is atrocious. Even if you don't want to use Bash, Console2 gives you things like tabs, and you can resize the window normally.

tldr; It's not slower, it doesn't involve more typing, it gives you a sane Unix command-line experience on Windows.