Windows lacks fork(), or at least it's not documented. To implement the Cygwin folks have to go through a lot of tricks to implement it. And one of them is rebasing all dlls to start at different addresses.
There is a tool to rebase everything, and it's usually started after install. It's possible that after you have recompiled your own apps/dlls they might need rebasing too (speaking as a cygwin user, not developer).
The only thing that I found annoying in cygwin, is that I can't use all commands from the cmd.exe, because they make sense only under cygwin. For example "gcc" is just a cygwin symbolic link to "gcc-something.exe", and when you "run it" it gives "Access denied". The workaround is to run like this: sh -c "gcc <args>" from cmd.exe
But it might solve very hard problems, for example - redis (from antirez's depot) compiled with cygwin worked for me, and although there is much better windows version by the MSOpenTech guys, it just shows that sometimes it might be the only reasonable way. The other app that comes in mind is rsync.