Also, the default terminal emulator that comes with Cygwin, called MinTTY, is fantastic. It doesn't have the flashy features of many native Linux clients, but it has all the basic features one could want (full color support, nice fonts, very durable, no 'gotchas').
The only problem is that support outside of C-based languages is touch-and-go. Mainline Python works flawlessly since it's implemented in C, and all it's tools also work flawlessly (virtualenv, numpy, scipy, matplotlib, django, flask, etc), but other languages like Go or Rust don't really support Cygwin. I'm unaware how well other languages are supported (e.g. Ruby).
So Cygwin will definitely "give you that Unix feeling" on a Windows machine, but it can't always replace a virtual machine.
It's also great in production - tolerable command-line remote administration, and great for e.g. Nagios plugins that are bash scripts (vastly better than attempting to find a Windows-native plugin that someone else wrote).
