GnuWin32 Packages is the official list of GNU tools for the win32 platform.
Some of these tools are pure magic. diff rules, and I felt all broken when my Cygwin install broke, because all my settings in diff were perfect there. Now I don’t even have to open the bash commandline, the tools are on my path, in Windows.
Handy.
When I grow up I am going to start using patch, too. Applying patches as I go along!
Edit: OK, the best packages are those that give you the filesystem commands from UNIX, fileutils.
With these things installed, you do not have to get used to the Windows command-line commands again.