My attempt at installing cygwin on Vista failed. The install fails while running some of the postinstall scripts. They just keep running and running, and never finish.
The reason I began installing cygwin once again was the dissappointment I had with Services for Unix. This is a feature you can try installing on Vista Ultimate.
Go to start->Control Panel->Programs and Features. On the side bar click "Turn Windows features on or off". In the list should be "Subsystem for Unix-based Applications".
Then you an download the "Services for Unix" package, or it does it for you, I forget what it did for me.
In any case, once you have this installed, you have the options of running I either csh, or ksh. No bash. Also you have to do a custom install to get things like gcc and g++. But once, they are their, you can try to install the tools you want by compiling them. I managed to get wget compiled, but bash failed to compile. Thats when I tried to install cygwin, which also failed. Oh well. No bash scripting for now!