I use both pretty extensively. If I want to make use of any of the various cygwin tools I use cygwin perl. AS perl's new cpanplus module is about as reliable as cygwins cpan(which is to say so-so) Plus AS has the awesome ppm utility. Straight out makes/nmakes go fairly well with either tool.
Generally I go with Active state, because it works well with my whole remote server/Database package(Apache/Mysql/PHP) plus it has a few neat modules that don't translate to cygwin. The Win32::* series is one that I use often at work. Spreadsheet::WriteExcel is another.
Another annoyance with Cygwin as mentioned by perrin is backslashitis you'd need to type \\\\\\\\ to make a system call to a remote computer.
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