Someone needs to cite this, so I'll do it:

GNU Software for MS-Windows and MS-DOS, 2nd Edition (book with CD-ROM)

IMHO, it's worth $35 to support GNU and get a nice, easy-to-install, fully-packed distro of *nix tools for wintel. (Of course, you can look for the ftp mirrors and download it all at no cost, except the time you spend tracking down and fetching all those utility packages and docs).

I've worked with both the GNU kit (which I installed on my own windows boot partition at home) and Cygwin (which a co-worker had installed on some windows machines at the office). There are a few differences in their details, and it's probably just a matter of personal habits (or tendency to focus on certain details) that lead me to prefer GNU over Cygwin. YMMV.