I use cygwin. I've also used blackbox as an alternative to explorer as a shell for windows so that I have a unix look to my box. Thats for when I HAVE to run windows for whatever reason for work.
But, I think cygwin is one of those tools thats kinda nice (required) to have if you're mixing environments. So I have linux, windows xp, cygwin, solaris, as my available OS's for desktop work.
~ Lissa Valerian