[Southy]

Cygwin is the best option because you can easily access all of the installed binaries for use with GUI emacs running in windows.

But I don't consider that to be a real native option, it is some kind of weird halfway house that sort of installs linux binaries but they are also kind of windows ones polluting your windows path.

Currently SBCL 'just works' on native windows, which puts it ahead for me if you are happy with both Scheme and CL.