I've got it configured, but I want more from it...maybe Cygwin isn't the right tool, but I like how it provides a *nix-like environment within Windows.
I'm quite interested in this question myself. I've used the Cygwin Setup guide to get set up, but it doesn't get you all the way. One thing that I learned from it, though, is that it recommends leaving the setup.exe in the directory with Cygwin so that you can quickly add packages, since apt-get apparently doesn't work that well in Cygwin. The article also talks about cyg-get as an alternative.
I've found Cygwin to be very useful in the past. FWIW, lately however I've shied away from it in favor of the following:
I like these tools even better.
If you've already read the Cygwin User Guide, take a look at Ten Steps To Higher Cygwin Productivity.
Also, if you're using a shell such as bash in Cygwin, and you're familiar with Emacs, consider using Eshell (the Emacs shell) instead.