If you add your "C:\path\to\cygwin\bin" directory to your Windows PATH, you'll be able to use less, grep, find and so on from the bog-standard DOS command line. The main use I've found for this is that I don't have to remember to use dir rather than ls on Windows; I seem to be a bit slow on the uptake and can never remember which is an SSH window and which is DOS.

If you do this, and you've got both C:\path\to\cygwin\bin and C:\path\to\perl in your PATH make sure you know which perl you're pointing to when you type 'perl script.pl', because cygwin\bin usually has a perl in it. I've had multiple perl binaries (AS and Cygwin) and multiple ruby binaries (native Win32 and Cygwin) for a while now, and it never seems to cause many problems.

update: On the original question, I'd have no hesitation in suggesting using Cygwin. Having gnu make in Windows means that you're only really limited by what source you can get your hands on, plus you can install *nix daemons as Windows Services - for example, Cygwin is the only way to get a PostgreSQL server running on Windows.