Cygwin is a great medium to take advantage of Linux tools without actually having to install Linux. If you are a newbie trying to get your feet wet with Linux system, installing Cygwin should be a primary choice. You can run anything from text processors, to web servers to development tools within the comfort of familiar windows environment. The only negative for is the whole way Cygwin handling of the installing/uninstalling process of applications. You have to manually go through a list of apps and check/uncheck them every time you want to install an app. This can be a major pain.
However there are unofficial command line package managers available that is more in line with how you would install a package on a non-gui Linux system. apt-cyg is one of the more widely used package managers out there. Installing a package/app is as simple as running
apt-cyg install nano which as you can see is inspired by apt-get package manager of Debian based systems. You can also run:
apt-cyg install to install packages
apt-cyg remove to remove packages
apt-cyg update to update setup.ini
apt-cyg show to show installed packages