Chris:
While it’s nice to have the unix-y feel that Cygwin provides, I find it much easier to use the One-Click Ruby installer. at http://rubyforge.org/projects/rubyinstaller/ to get an environment running. You can do basic Rails with cygwin, but an awful lot of gems don’t seem to work right (or install right) from my experience.
Sorry that didn’t directly answer your question though.
