I too work for a Microsoft shop. Installed Emacs, perl, MinGW/MSys with bash, cygwin (do not use it, though), python (do not use it), etc. JVM is already installed on all computers except the production servers. So the work that is of a "personal" scope (editing a file, analyzing a log, etc) I can use any technology which is available to me.

Of course, when we are talking about a group effort, we need a technology that everyone in the group is understanding. It is more difficult to convince others (including management) in a Microsoft shop to use non-Microsoft technologies. But it is possible.