Vim Tips Blog : Programmer Productivity Tips

I use and love Cygwin but mostly use the standard Windows gVim (Gui Vim) rather than that supplied by Cygwin.

in my .vimrc I have

if has('win32')
source $VIMRUNTIME/mswin.vim
behave mswin
set shell=c:\\cygwin\\bin\\zsh.exe shellcmdflag=-c shellxquote=\"
else
set ff=unix
endif

You will probably prefer bash.exe rather than zsh.exe

I can then run zsh/bash scripts from the command line e.g.
:!grep blah blah