The main thing I noticed with cygwin is that to run GTK programs (even hello
world) you need to run the cygwin X server. Cygwin includes the X packages
including xaw etc so you could probably run the mixed version as well, though I
haven't tried it.
I am sure this is not literally true. There is a native windows port of
gtk by Tor Lillqvist's which is used for example by the win 32 version
of Gimp. Unfortunately the last time I looked it was not at all obvious
how to install or use it.
Perhaps things have changed for the better....