Bash scripts run in Powershell. We have hundreds of bash scripts for infrastructure build/deploy/etc. and they are cross-platform. On windows we execute them in Powershell. Powershell's been around for a decade and runs on XP and above (edit: and ships with Windows, I think Win7 and above).
...if you install Bash [1] so PowerShell can execute it. In much the same way that batch files can call Bash, or Windows Explorer can if you double click on it.
> A caveat to the accepted answer is that sh is not included in vanilla Powershell. I had to install Git, which optionally adds some UNIX tools to the PATH in Powershell, sh.exe being one of them.
> Note: sh.exe or another *nix shell must be associated with the .sh extension.
If you find yourself using Windows from time to time, you might try Cmder: http://gooseberrycreative.com/cmder/. It's currently my favorite Unix-like shell on Windows. I've used cygwin and Hamilton C Shell in the past, but Cmder offers, among other things, a console emulator (ConEmu, I gather) that is much better than the default Windows console emulator.
You're probably better off installing standalone MSYS with something like mingw-get-installer which also gives you a convenient GUI for installing other common GNU/Unix utilities (and a somewhat crappy command line package manager). It even gives you a half decent terminal (in the form of mintty).
I tend to do most of my windows scripting using bash cause it's just less effort that way. Still, it's not a first class citizen like on Linux, and Microsoft seems to be going down it's own path with powershell (which at best gives a nod to the existence of things like bash, but not a lot more).
I went off the fact that most people caring about some command line on Windows likely also installed Git on it. In that case it is like getting it for free.
I don't think that would be terribly useful, as a bunch of concepts important to Windows the BSD core utilities would have no idea about. Registry, NTFS, etc.
Honestly, I find 'nix users unwilling to learn PowerShell the exact same as Windows user unwilling to learn a 'nix shell and core utilities.
PowerShell doesn't have SED -- but it has pipeline replacement.