I also vote for a combination.

My usual setup on any Windows machine I use is ActiveState for Perl and Cygwin for everything else. I ran into problems with Cygwin perl many moons ago and never went back to see if they had fixed it.

The ActiveState version has other goodies, like pre-HTMLized documentation (with a nice CSS) and of course, the PPM package installer. Overall, I've been very happy with it.