...I would weigh in heavily in favor of cygwin also.
In addition to the archiving tools you seek (tar and gzip) it also comes with a distribution of perl, an instance of bash, wget, ssh, and XFree86. I have been using cygwin since the day I was burdened with Windows98 and I couldn't work in the Win32 environment without it.
I can't quite make out what you mean by "native filenames." WinDos will ignore case differences in filenames, but GNU tar under cygwin respects case differences just fine. That's about the only issue I could imagine unless you actually want a utility that preserves the myfile~1.doc filenaming convention.
...All the world looks like -well- all the world,
when your hammer is Perl.
---v
