So one of the niceties about OS X is the integration with the terminal. I’ve already added pbcopy and pbpaste to Cygwin, so I figured it was about time to get the open command working. Note that cmd.exe has a handy start command which is similar to open on OS X. (Not quite as nice, but hey, you take what you can get.)
Some quick Googling revealed this page, and voila! A start which allows opening explorer windows (and files associated with programs) from Cygwin.
Just add alias start="cmd /c start" in the if $cygwin; then block of your .bash_profile.
(As an aside, I really should start putting these configs under source control.)