I ran into a pretty nasty problem while running Maven under Cygwin yesterday. Why? since all workstation at my current client's site are Windows based. The problem happens when I replaced Windows CMD with Cygwin Bash by adding Autorun key under 'HKEY_CURRENT_USER\Software\Microsoft\Command Processor' in the registry. After that Maven stopped working, took me a while to pinpoint the problem, although all other Java applications run just fine including Eclipse, Groovy, and Tomcat.
Finally I gave up replacing the Windows CMD with Bash. At the end, I decided to run all my console using an open source program http://sourceforge.net/projects/console which allows you to have multiple tabs of Cygwin console running on your Windows machine plus some eye candies. This setup worked out pretty good for me so far.