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Many of MS's dev tools are free, including the compilers and SDKs, express versions of the Visual Studio IDEs, and full Visual Studio for students.
A "GNU toolchain" is certainly not required for development. One can develop Win32, .NET, Java, and Qt applications without installing Cygwin. If gcc is required, it's available via mingw32. Cygwin is only useful when running build scripts or developing applications that target the unixlike environment provided by Cygwin.