I think that your best bet, if you want to use Cocoa, is to get a Mac. You really won't regret it. GNUstep is a neat solution, but it is impractical to distribute applications built using GNUstep, because (as far as I know), clients must have the runtime installed for it to work.
Cocotron is an amazing project as well, and in the future, it may be useful for you if you want simple apps to run on both Mac OS and Windows. But you would still need a Mac to use it.
If you are interested in using a language like Objective-C with a framework like Cocoa, but don't want to get a Mac, why don't you try web application development with Cappuccino and Objective-J?. Objective-J is an implementation of an Objcective-C-like language in JavaScript, and Cappuccino is a really amazing imitation of the Cocoa framework in Objective-J.
Some examples of what can be created using that framework are 280 Slides and the new, stunningly beautiful EnStore. That's not a perfect solution, and unless you are content to just do web applications, you should buy a Mac.