I'm giving puttycyg a whirl. It uses different key codes than xterm - xterm does not default to VT220 keyboard, but puttycyg does. And both of these are different to rxvt. This primarily affects readline, and thus the bash shell.

For example, xterm sends '\e[H' for Home by default, while puttycyg (and xterm in VT220 mode) sends '\e[1~' and rxvt sends '\e[7~'.

I can configure some overrides in .inputrc, but sooner or later these start to conflict with one another if I want to be able to switch at will. Seems easier to stick to rxvt, and know that my preferences in ~/.Xdefaults also apply on non-Windows boxes.