Michael Slade is correct. I would like to talk about the typical usage environment.
For practical reasons I use gnuwin as a light backend for stuff only remotely related to POSIX environments while cygwin is more of a full blown POSIX and even a very gnunixish environment.
Also gnuwin tends to become bloated when installing lots of tools because the executables are often using statically linked libraries. Cygwin on the other hand delivers a ton of dynamical libraries and rather small executables. So if you only need a few executables then gnuwin needs less resources. If you need a complex environment then cygwin will be more efficient.
gnuwin is also often slightly outdated, offers few software, no package/update-manager. It is a basic shell environment. No ssh, no gcc, vim, no perl, no sql - you can get these from other sources but how these cooperate is hard to predict.
Cygwin fixes all above problems.
In other words, gnuwin is great for the occasional installer, for just putting du, find and sort in your $PATH. To do some real POSIX work use cygwin.
I once had a second Linux workstation, then a Linux VM running next to my windows system. Cygwin made them obsolet. It is good enough for a ton of things while saving tons of resources in comparison to a dedicated computer or a VM.