<p>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.</p>

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.