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
Althoug Svend Hansen answer has some points, another thing is the PATH in Environment variables - if the path to mysql is before that of cygwin
which mysql
will show
/cygdrive/c/Program Files/MySQL/MySQL Server 5.5/bin/mysql
otherwise it will show the cygwin client.
As reference Wikipedia says:
Some programs may add their directory to the front of the PATH variable's content during installation, to speed up the search process and/or override OS commands.