Cygwin Ports Project
Cygwin on its own is fairly handy, but one of the blessings of a major open source project like this is that people are always working to add more. Eventually, these additions may get incorporated into the main Cygwin repository. It wasn't that long ago that X11 was considered an experimental add-on which only the brave should try. Nowadays it's standard and readily available.
You may want to play with the packages which haven't been incorporated into Cygwin yet. My advice to you is to go straight to the [Cygwin Ports Project](http://cygwinports.dotsrc.org/) and follow the instructions there.
