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While OS X is the best option for a nice development environment that has a great shell, a good UI, and full X support, sometimes you don't have access to a Mac. Enter: Cygwin.
Just grab the installer, make sure you get the X Windows packages (grab all the window managers just to have them, including openbox, fvwm2, windowmaker, and twm).
Next, decide if you want your X environment to be integrated in to Windows XP or not. If you do, edit c:\cygwin\usr\X11R6\bin\startxwin.bat and change -multiwindow to -fullscreen or -screen options. If you remove -multiwindow, you also need to launch a window manager (look near the end of the file). I prefer WindowMaker (wmaker) personally.
Finally, I do a few tweaks that make my environment a little nicer:
Edit ~/.Xdefaults to give a nice xterm UI:
XTerm*scrollBar: true
XTerm*background: Black
XTerm*foreground: Green
Edit ~/.basrc to make bash a little nicer:
export PS1="[\W]\$ "
alias s="cd .."
alias ls="ls --color"
alias l="ls"
alias ll="ls -l"
Finally, to make the whole environment nicer in Windows XP, I do the following: