Previously mentioned programs on this site include Putty (a SSH client) and Cygwin (a “run Unix inside Windows” port of Unix utilities). However, when using a remote Unix system you use Putty and have a very nice interface and when using Cygwin, you get the Windows Command Shell which is a terrible alternative. However, there is an option which resolves that problem.
PuttyCyg allows Putty to run Cygwin. This much is proudly proclaimed on their website. Generally, you drop in their exe file in the Putty directory as well as other supporting files overwriting as you go, you create a new connection of type Cygwin and the host is a – character (or should I say where the host line was, the text changes to indicate that it is a login command), save the session if you want, hit login, and there you go. It starts Cygwin for you so you never have to worry about that again.
In short, once everything was in place you can easily choose a session to a remote Unix box or to local Cygwin with the same amount of ease and with the wonderful Putty interface. In short, I like it and if you commonly use those programs then you will likely like this program too.
You can find PuttyCyg at the following website and all the programs mentioned in this post are free.
http://code.google.com/p/puttycyg/