Works fine. Unfortunately, developing without Unix stinks. and Cygwin is a hack (very slow). Vim is much more powerful with Unix tools on hand. I learned Vim on XP (no choice of OS, so it was the best choice).
No need for cygwin (for some things at least). I downloaded the win32 ports of GNU utilities, and put them all in a directory which I then add to the PATH.
Voxli uses gvim on Windows and Mac, without Cygwin. I switch to Visual Studio or Xcode for debugging and compiling, and it's never been a problem. There are also some clever plugins to open a pipe to Visual Studio so you can kick off a compile directly from Vim, but I haven't needed them yet. Also we had to write some scripts to feed the proper paths to etags depending on the development environment (include Windows or Mac toolkit headers, etc).
To compile from Vim, use vcbuild (for C++) or msbuild (.NET) as your makeprg (you will need to add them to your path first. For vcbuild you can do it by using "%VS90COMNTOOLS%\vsvars32.bat"). Then set errorformat and your ready to go :)
http://unxutils.sourceforge.net/
Doing so, not only can I use them in vim (!sort, !ls, etc), but I also get a friendlier cmd :)