Cygwin has got to be the coolest tool that exists for Windows. What is it? From their site:

Cygwin is a UNIX environment, developed by Red Hat, for Windows. It consists of two parts:
- A DLL (cygwin1.dll) which acts as a UNIX emulation layer providing substantial UNIX API functionality.
- A collection of tools, ported from UNIX, which provide UNIX/Linux look and feel.
The Cygwin DLL works with all non-beta, non "release candidate", ix86 versions of Windows since Windows 95, with the exception of Windows CE.