Git under windows: MSYS or Cygwin?

Edit (2 more years later: October 2014)

Johannes Schindelin just explained (Oct. 2014) that msysgit is phased out:

we now have a light-weight Git for Windows SDK – which is essentially a standard MinGW/MSys system managed through the package manager mingw-get.

We decided to just phase out the name "msysGit" (as well as the GitHub org of the same name) and work on Git for Windows (with the corresponding GitHub org), and using the name "Git for Windows" for the installer aimed at "end-users" and "Git for Windows SDK" for the development environment targeting Git for Windows developers).

Edit (3 years later: April 2012)

MsysGit (now on GitHub) is the way to go if you want a light-weight fast start in Git world: unzip the archive, launch git-cmd.bat or git-bash.bat and you are done.
Its latest release (1.7.10, April 2012) now includes support for UTF-8, also included in GitExtension.Don't forget to set your autocrlf to false though.

If you are really missing all the other unix commands not packages with msysgit, simply download a release of GoW (Gnu on Windows), aptly named "The lightweight alternative to Cygwin".
I mean: 130 unix commands...

Cygwin should be a backup solution only for certain cases, like the transfer speed of large Git repositories, as mentioned below by incrementor in his answer.

June 2012: if you want to interact with GitHub, you now have http://windows.github.com (see also "Designing GitHub for Windows").
It not only will configure the ssh keys for you (and add the generated public key to your GitHub profile), but it will also install, for all git operations, a... MsysGit.

Original answer (April 2009)

I have no problem with the latest version of MsysGit:
I use the option 2, which means I only add the git\bin directory to the PATH environment variable, but without overriding some built-in windows tools.

I managed to defined external tools like Notepad++ and WinMerge (or DiffMerge)

I did run successfully scripts like svn2git because, from MsysGit1.6.2+, it does include the 'git svn' command.

And finally I look forward to MsysGit1.6.2.3 for it will include finally 'git filter-branch' command! (a slow version of filter-branch, but still).

For the Unix command, I prefer to install a GnuWin32 coreutils package, and use them only when I need them.

So all in all, I do not use the Cygwin layer, and managed to run Git very well in its Windows-based release MsysGit.

Yes. Old question. New answer:

We have been using MSYSgit for about 2 years now in a large deployment. The speed of transfers from a local git repository server have been limited to less than 5 MiB/s. Earlier investigation into the issue indicated that the problem was with MSYS devs being on Windows XP and Windows 7 security limiting connections from command prompt/bash shell. This does not appear to be, in fact, the problem.

I discovered Darrell Mozingo's blog posting and tested a clone of a large (many GiB) repo using only a Cygwin install. Transfer speeds were in the 30 MiB/s range. The problem is that MSYSgit uses an antique OpenSSH binary from 2007.

To this end, until that gets fixed, I am now recommending a shift to Cygwin (even though the version of git is a bit behind). I also found Cygwin to be more stable and less likely for perl to run out of memory.

I've dabbled with using both the MSYS and Cygwin versions of git, and to be really honest, I didn't find either experience especially good. I just don't think git is really ready for windows yet.

That being said, one issue I found with the MSYS version is that it would convert the line-endings on your (non-binary) files from UNIX style (line-feed) to DOS style (carriage-return/line-feed). You may consider this a bug or a feature, but there is no way to change the behaviour that I could find. (EDIT: Set the configuration variable core.autocrlf to false. Thanks Brian.)

OTOH, the MSYS version of git has some GUI functionality that isn't available in the cygwin version unless you want to install and run a whole X server. (Thanks Joce for confirming this.)

My impression is that the MSYS version is more popular, although that may be because you don't need to install a cygwin ecosystem to use it. (And I agree, cygwin is extremely useful.)

Personally, I would go with either Bazaar or Mercurial, either of which have better support for windows IMO.