If you are like me, then you favor Windows because that's what you grew up using and that's what you are most comfortable with. In general, Windows is plenty powerful and pretty easy to use (of course Mac users would argue otherwise), but having used Linux for a number of years at school and work has allowed me to see some of the benefits of the command line and Linux applications that just do things smarter and faster than Windows allows. As a result, some very clever developers created Cygwin, which can be best described as a Linux emulator that integrates directly into the Windows OS.
Effectively, that means that you can run system commands and start other programs from within the Cygwin shell because it ties in to the native operating system. This is what makes it so powerful. Additionally, hundreds of the more popular Linux applications like Bash, Apache, man, vi, emacs, exim, etc. have all been ported over to Cygwin so they can run natively on Windows. You can choose to download the source code for these apps and compile them on your machine for Cygwin, or you can just download the executable and they will be installed for you through the Cygwin manager. As a Linux user, I appreciate the ease of installing things in Windows as OSX because you don't have to compile anything. You just have to run an executable and the rest is done in the background. Cygwin keeps that same mentality and applies it to the power of Linux's applications.
If you have experience using Linux or are interested in learning more about the command line, I highly recommend you check out Cygwin. This tutorial walks through the basics of installing Cygwin with pictures and should help answer some of the questions you might have about the software. Enjoy :)