I m currently using Console2 loading Cygwin's bash as shell.
Everything worked fine until I didn't try to open a tiff file with imagemagik's display command, which resulted into a: Can't open display...
Being not so used to cygwin, I had some problems to get those things working. Inspired by the startxwin.sh script contained in the xinit cygwin package, I got it working by adding the following to my cygwin's home .bashrc:
rm -rf /tmp/.X11-unix
if [ "`ps | grep XWin`" == "" ];
XWin -multiwindow -clipboard -silent-dup-error &