Being able to use a real shell with all the tools I'm used to when developing on Windows.
Cygwin in combination with MinGW and the Windows native version of GVim lets me have almost exactly the same environment as I do on Linux and Mac OS X.
I don't see Cygwin as a file manager but as another (better) interface to Windows. A Linux VM wouldn't let me natively run and debug Windows software, which is the entire point of me being in Windows in the first place.
Cygwin in combination with MinGW and the Windows native version of GVim lets me have almost exactly the same environment as I do on Linux and Mac OS X.