I recently started using apt-cyg and like it a lot. It allows easy installation of packages from Cygwin and Cygwin ports repositories.
It is inspired by Debian’s apt but it does not support anything like a sources.list and it can actually only work against one repo (mirror) at a time. Well, I guess that’s bearable since there are really only two sources (main cygwin and cygwin ports). But I might try apt-cyg-multi which claims to have added the missing cross-repository functionality.
For now, I found it convenient to configure these bash aliases (use a suitable Cygwin mirror and Cygwin Ports mirror for your location):
alias cyg='apt-cyg -m http://mirrors.kernel.org/sources.redhat.com/cygwin/' alias cyp='apt-cyg -m http://mirrors.kernel.org/sources.redhat.com/cygwinports/'
Update, June 2013: There is a promising-looking apt-cyg fork on github. I just started using it.
Oleander Donovan's IT blog 
Love the aliases also. Using in my aliases file.
Thank you for noting the difference. I hadn’t noticed that until you said something.
Hi ! How do you get cyg-apt installed?
The “apt-cyg” shell script can be downloaded from http://apt-cyg.googlecode.com/svn/trunk/apt-cyg and saved as
/usr/local/bin/apt-cygin your Cygwin system. Make sure tochmod ugo+x /usr/local/bin/apt-cygafterwards, to make it executable.Please note that “apt-cyg” is not the same as “cyg-apt”. The latter is a python program that aims to provide similar functionality, but requires python. I have not tried “cyg-apt” and I am not planning to, because I am happy with “apt-cyg”.