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If any of you are running Cygwin as well as Pubuntu, a couple of useful hints:
It works well to make the Windows and Cygwin home directories the same place. Your Windows home directory is at C:\Documents and Settings\username (or C:\Users\username on later versions of Windows), so go into Cygwin and
(after you copy everything safely out of it, of course) and then
ln -s C:/Documents\ and\ Settings\<username> /home
It does *not* work well to try to share your home directory between Cygwin and Pubuntu, however, because the dotfiles have to be set up differently. In addition, if you have a private ~/bin directory it will be need to be different, because even though the x (executable) permission bit can be set in the NTFS file system from Cygwin, it will not be visible from Pubuntu!
Other subdirectories of your home directory that don't contain executables can be shared between Windows/Cygwin and Pubuntu, however. You can create a symbolic link with
ln -s /media/cofs2/Documents\ and\ Settings/<directory> ~
from the Pubuntu side. The only case I have had problems with is trying to share stuff under svn version control (or local svn repositories themselves). There is some difference that makes commits fail, possibly another discrepancy between the real Windows file system and Pubuntu's view of it. In addition, Pubuntu does not understand Cygwin symbolic links (which are Windows shortcuts); it sees them as ordinary (short) files.
The second line above may not work: if so try
ln -s /cygdrive/c/Documents\ and\ Settings\<username> /home
which is standard Cygwin. Also, in non-English versions of Windows, the Documents and Settings or Users directories have different names.