X-servers and improved shells for W*ndows.
Apparently this does not require Cygwin, but provides an X-server for FREE.
This is offtopic, but it is a cmd.exe replacement that supports a tabbed interface (look at version 2.0). Good if you miss "screen" when using Win32, I suppose. (Screen itself is available for Cygwin as an unofficial build, but I have not tried it.)