Actually, I wouldn't use Windows + Cygwin unless I could avoid it, which is not the case at work. It's somewhat notably slow.
I find Linux + Windows on Virtualbox more productive, and that's what I use on all my personal machines (but then I don't work in .NET outside work).

It's all about having access to your favorite tools no matter what platform you're running, and also in the most comfortable way.
If you miss any Unix utilities, and can't or don't want to replace Windows, then give Cygwin a try; it's very mature, stable and complete, albeit a bit slow.