One reason not to use Windows

Let's pretend we're using UNIX

GNU/Cygwin         A Unix environment for all versions of MS Windows
Cygwin/XFree86         More X software for GNU/Cygwin
UWIN         Another UNIX environment for MS Windows
MinGW         Minimalist GNU for Windows

UNIX-style tools for MS Windows

GnuWin32         Win 32 ports
md5sum         calculates the MD5 message digest for one or more files
md5summer         windows md5 sum generator
md5deep         windows md5 sum generator
vim         a text editor.
VIM-LaTeX         macros for latex editing with vim
gettext and iconv         library and tools for native language support and character set conversion
emacs        ( emacs FAQ For Windows )         a text editor
xemacs
PC-Pine         UNIX-style MUA
mailutil         replaces the old chkmail, imapcopy, imapmove, imapxfer, mbxcopy, mbxcreat, and mbxcvt programs
gimp/GTK+         a graphics editor
ImageMagick         Convert, edit, and compose images
lynx         a web browser
bzip2         a file compression program
dos2unix/unix2dos         a convenient utility to convert Windows text to UNIX text
PGP/GPG         de-facto standard for encryption
winpt         Windows Privacy Tools
unixmail         UNIX-style mail stuff
mutt         UNIX-style MUA
blat         command line utility that sends eMail using the SMTP protocol
nmap         utility for network exploration or security auditing
Ctrl2Cap         switch those CapsLock and Control keys as they should be ;-)
NcFTP         an alternative to the standard ftp
WinDump         tcpdump
CVS (along with a GUI frontend WinCVS)
screen (cygwin) allows you to switch between programs and yet use just one "terminal".
cygwin kde (cygwin)
wget
Iperf for measuring TCP and UDP bandwidth performance

UNIX-style daemons for MS Windows

apache         a web server
bind         an implementation of the Domain Name System (DNS) protocols
ProFTPD (cygwin)         an ftp server
filezilla server         an ftp server
tFTPD

TeX, pdf, postscript, and more

MiKTeX         a TeX implementation for Windows
latex2html        ( Installing latex2html with MiKTeX) create web pages from latex files
eukleides         typeset geometric figures within a (La)TeX document (don't forget to download xeukleides, as well)
latex2rtf         convert latex files to rtf
ghostscript/ghostview         view (and more) PostScript files
epstool         a utility to create or extract preview images in EPS files, fix bounding boxes and convert to bitmaps
pstoedit         a tool for translating PostScript into various other vector formats
Acrobat Reader         view pdf files
WinEdt         editor and front-end for tex ($)
auctex         enhanced emacs environment for tex
mathtype        ( TeXaide)
Scientific Viewer         tex viewer
DVIscope         dvi viewer
LyX         TeX editor with WYSIWYG views and front-end for tex
gnuplot (win,cygwin)         general purpose plotting program
Equation Magic Lite         an OLE-based equation editor for Win 95/98/NT/ME/2000
MetaGraf         Drawing application for TeX through MetaPost
jPicEdt         generate LaTeX, eepic, and PsTricks code from a user-friendly graphical interface
Tkpaint         a graphics program for drawing book quality figures, slide presentations, diagrams, and pictures
Adobe Universal PostScript Windows Driver         enables you to print documents from any applications running in Windows to a postscript file
winFIG         pretends to be Xfig - a drawing program
LaTable         WYSIWYG tables for latex
winplot         a general-purpose plotting utility, which can draw (and animate) curves and surfaces

SSH and more

putty         includes ssh and scp
winscp         scp/sftp client
filezilla         ftp/scp/sftp client
ws_ftp pro         this commercial product now supports SFTP
iXplorer         gui for putty's scp
SSH WinClient
Tera Term       (with ssh and ssl)
openssh         client and server (min. w/o cygwin)

Programming

C/C++/Fortran         complete development environment
C/C++/C#         for C/C++ see also Cygwin above
M$ Visual Studio Express
.NET and C#         The DotGNU Project
.NET and C#         The Mono Project
Borland C#
OpenGL Utility Toolkit (glut)         implements a simple windowing application programming interface (API) for OpenGL
pascal
perl
PHP
python
tcl/tk

Technical

CoCoA         a special-purpose system for doing Computations in Commutative Algebra
gap         Groups, Algorithms, and Programming - a system for computational discrete algebra
Knotplot         fairly elaborate program to visualize and manipulate mathematical knots in three and four dimensions
Macaulay 2         a software system devoted to supporting research in algebraic geometry and commutative algebra
ORTEP-3         Oak Ridge Thermal Ellipsoid Plot Program for Crystal Structure Illustrations
R         language and environment for statistical computing and graphics similar to S
scilab         a free numerically-based programming environment (like matlab)
singular         Computer Algebra System for polynomial computations with special emphasis on the needs of commutative algebra, algebraic geometry, and singularity theory
Snap Pea         for creating and studying hyperbolic 3-manifolds
yacas         an easy to use, general purpose Computer Algebra System, a program for symbolic manipulation of mathematical expressions
GraphCalc         A graphing calculator
MathGV         A graphing calculator

Other

GNUWin II         a free software compilation for Windows
7-zip         a file archiver with the highest compression ratio. The program supports 7z, ZIP, CAB, RAR, ARJ, GZIP, BZIP2, TAR, CPIO, RPM and DEB formats.
ACITS lpr 3.4f       ( Instructions)         print to network printers from MS Windows 98
dig, traceroute, whois         dns tools
Sysinternals         advanced utilities, technical information, and source code
V Integrated Development Environment         environment for the GNU g++ compiler and the standard Sun Java Development Kit
Intel Processor Frequency ID Utility
Intel Active Monitor
wcpuid         displays CPU info
Explore2fs         read ex2fs (linux) partitions from MS Windows
Virtual Network Computing (VNC)
Free Agent         News Reader
Eudora         Email Reader
metamail (for dos)
metamail (for Windows)
Zone Alarm         Bare-bones PC firewall
Vietnamese         Software and fonts for Vietnamese
Vietnamese fonts                
Make Google the default search site in IE         MS "forgot" to give us access to the best search site on the net
XP Power Toys         Useful tools for windows; like virtual desktops
Wntipcfg         IP configuration tool (for 2K and XP)
Darik's Boot and Nuke         a self-contained boot floppy that securely wipes the hard disks of most computers
bcwipe         securely wipes files ($)
bittorrent        
nethack         a single player dungeon exploration game
irfanview         graphic viewer for Windows
memtest         stand alone memory test for x86 architecture
netstumbler         wireless network tool
audiograbber         CD ripper
ultraiso         CD image software ($)
daemon tools         mount iso as a virtual drive
winamp         media player
firefox         web browser
Active Ports         monitor all open TCP and UDP ports on the local computer
DAMN NFO viewer         view NFO files (ASCII art)
qslice         shows the percentage of total CPU usage for each process