MinGW comes with an installer that gives you GCC. Make sure you install MSYS as well (comes with bash, etc). Add the bin directories to your %PATH% when you're done. Then set Console to use bash as your default shell, and you have a pretty close setup to the command-line experience of Linux/Mac.
That's one of the draws, sure. But it's also nice to be able to replicate shell scripts or clever unix file hacks with a complete set of syntax compatible utilities so that less "translation" needs to happen. If you don't need all that back-end compatibility stuff (running gcc, etc.), this can be a much quicker and easier approach.
I thought that was the main draw of Cygwin.