I find coLinux tremendously helpful when developing on Windows for Linux, it's basically a linux system running in parallel to your Windows OS (i.e. as a service) and can be configured to simply show up on your LAN, basically like a virtual machine does. Also, it's much more full featured than CygWin, and its performance is really remarkable - I can easily run non-trivial stuff under coLinux, and still run simulators at 90+ fps.
Also, coLinux can be easily set up to run X11 and window managers like gnome/KDE, so that you can for example use something like vnc to access your linux desktop.
Cooperative Linux is the first working free and open source method for optimally running Linux on Microsoft Windows natively. More generally, Cooperative Linux (short-named coLinux) is a port of the Linux kernel that allows it to run cooperatively alongside another operating system on a single machine
. For instance, it allows one to freely run Linux on Windows 2000/XP, without using a commercial PC virtualization software
such as VMware, in a way which is much more optimal than using any general purpose PC virtualization software.
(source: colinux.org)