Vladimir_Nesov comments on I want to learn programming - Less Wrong
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Nowadays you can just work in a virtual machine. Cygwin is a terrible hack in comparison.
May I ask where your negative impression of Cygwin comes from? I don't agree that virtualization is desirable for one's primary development environment (though it's extremely handy for testing and porting), because I've found it to be a recurring source of trivial inconveniences. But my view of Cygwin is from the perspective of a power user; I've been using it for a long time and have gotten used to/found workarounds for all its issues.
You yourself point out that both solutions have their trivial inconveniences. But at least in a virtual machine you can have an off-the-shelf complete linux with no porting issues.