If you mostly work in a *nix environment, but occasionally have to use a Windows machine

I'm always using a Windows machine because that's what my company insists I use to do my work. The standard build is pure MS Windows, suitable for all the management twonks who decide these things and who think Powerpoint and that well known database system Excel are all anyone needs :-/

just install a VM instance of my preferred *nix dist

If the laptop provided wasn't one of Noah's hand-me-downs that struggles to even boot I probably would, although my preference would be for a native Linux laptop with a Windows VM just for the corporate stuff like email and timesheets. Unfortunately, they won't let us do that so we have to add our own choice of tools, things like PuTTY and Cygwin, on top of the standard build to make our jobs easier.

By emulating (badly)

I don't know. Perhaps it does some things badly but it does the things I need very well. It gives me an X-Window Server so that I can run an xterm and use my favourite editor (nedit) to develop Perl scripts or display server GUI tools on my screen. SSH keys work seamlessly between Cygwin and Linux and I can use scp, sftp or rsync to deploy the scripts and move files between my laptop and servers. It gives me utilities like ccrypt, cpio and tar and plenty more. In short, it does what I need.

I much prefer cmd.exe to (z|k|z|ba)sh

I much prefer the more mouse-centric copy'n'paste of xterms and find that of cmd.exe extremely clunky when forced to use it on terminal servers that don't have Cygwin installed, which is all of them, a battle yet to be won :-)

Until they allow me to use a Linux laptop for my work I'll continue to use what is for me the next best thing, Cygwin.