It would be nice to have the option to upgrade all installed packages with mingw-get rather than trying to remember which packages have been installed. A single command such as 'mingw-get upgrade installed' or 'mingw-get upgrade all' which iterated through all the installed packages and upgraded them to their latest versions would be lovely.
My plan is that 'mingw-get upgrade', without any following package name argument, will eventually do just what you ask. However, I can't offer any ETA for delivery of this feature, at present.
This feature is now supported by mingw-get-0.4-alpha-1, released 2011-11-06. See the release notes at http://preview.tinyurl.com/cu5cmql for further information.