There are a ton of ways to integrate Cygwin with Emacs on Windows. EmacsWiki shows a few ideas. Here are the options that I\'ve found:
FWIW, I use the normal GNU Emacs Windows releases, and I use Cygwin. I've never had any problems, but I don't do much with Cygwin outside Emacs. Oh, and I'm using an old version of Cygwin (with all versions of Emacs).
For setup, I load these two files, in order: