While I do most of my work on Windows-XP at home, there are things which I prefer to do in a Unix-like environment.
 
For example, I find Windows version of GNU-Emacs much more convenient for editing text files, while browsing directories and viewing other files. I also use the bash-shell within the Emacs-shell to run Unix-commands from my Cygwin installation.
 
Especially while working on sites based on Wordpress, Drupal, etc., it is very useful to have access to tools like gunzip, tar, and so on. When I download a plug-in or a theme, I typically use gunzip and tar to extract the contents, and then use FileZilla to upload the files to the web host.
 
There are a couple of Windows settings that help in making your bash-shell easy to use. Adding the path to Cygwin binary directory (e.g. C:\tools\cygwin\bin) to the Windows Path Environment variable makes all the Cygwin binaries accessible within a bash shell.
 
Also, configuring your Emacs Shell variable to the Cygwin Bash executable would make your Emacs shell a Bash session.