I have used both Linux and Cygwin and on Win2K for developing Perl, and I find Cygwin to be a compromise at best. The terminal app on Win2K sucks, the integration between Cygwin and ActiveState Perl doesn't work transparently (#! doesn't work for me), modules won't compile with Cygwin and are not all available for ActiveState, etc. Linux is a dream to work with by comparison, and much better if you just want to hack some headache-free perl, in my opinion.
Also, Roaring Penguin PPPoE works great on Linux and was easier to set up than the stuff Earthlink gives out for Windows.