I can successfully connect to MySQL from a DOS prompt, but when I try to connect from cygwin, it just hangs.
$/cygdrive/c/Program\\ Files/MySQL/MySQL\\ Serve
Run bash from the cmd.exe executable and then mysql will work inside bash.
This will run bash under the windows cmd.exe environment and when you attempt to run mysql it will execute as you would expect. This is working under windows 7 but has not been tested in any other version.