I\'m not a C++ developer, but I\'ve always been interested in compilers, and I\'m interested in tinkering with some of the GCC stuff (particularly LLVM).
The MinGW-w64 port of gcc creates native code for 32- and 64-bit Windows without any additional dependencies.
See for example http://mstenberg.com/blog/2010/06/13/gcc-for-windows/ for a quick getting-started guide.