I've used Cygwin a lot in the past; it's great provided you don't have to stray outside the Cygwin world. If you need to interact with standard Windows executables it gets very hairy. In order to maintain Unix-ish semantics, it needs to do some rather odd things --- IIRC stderr is passed via a Windows named pipe rather than via the Windows file descriptor 2?

And heaven help you if you need to run a Cygwin binary on a system with a different version of Cygwin installed on it...

We found ourselves switching to MSYS whereever possible simply because it was less clever, and therefore more predictable.

(Also the Cygwin package manager makes me sad.)