I currently develop in C++ on Windows, using Visual Studio 2010. After the official announcement of C++11, I have begun to use some of its features that are already available in
MSVC has the huge advantage of coming with an IDE that has no equals under Windows, including debugger support.
The probably best alternative for MinGW would be Code::Blocks, but there are worlds in between, especially regarding code completion and the debugger.
Also, MSVC lets you use some proprietary Microsoft stuff (MFC, ATL, and possibly others) that MinGW has no support for, and makes using GDI+ and DirectX easier and more straightforward (though it is possible to do both with MinGW).
Cygwin, as mentioned in another post, will have extra dependencies and possible license issues (the dependency is GPL, so your programs must be, too). MinGW does not have any such dependency or issue.
MinGW also compiles significantly slower than MSVC (though precompiled headers help a little).
Despite all that, GCC/MinGW is an entirely reliable quality compiler, which in my opinion outperforms any to date available version of MSVC in terms of quality of generated code.
This is somewhat less pronounced with the most recent versions of MSVC, but still visible. Especially for anything related to SSE, intrinsics, and inline assembly, GCC has been totally anihilating MSVC ever since (though they're slowly catching up).
Standards compliance is a lot better in GCC too, which can be a double-edged sword (because it can mean that some of your code won't compile on the more conforming compiler!), as is C++11 support.
MinGW optionally also supports DW2 exceptions, which are totally incompatible with the "normal" flavour and take more space in the executable, but on the positive side are "practically zero cost" in runtime.