I already know Cygwin/X (01/2006), it is a free, full featured X and unix environment. But there are alternatives : XMing (02/2006) ! It is only an X server : so it is enough if you only have to connect to a remote Linux server. Note that you can still use Microsoft SFU or coLinux (02/2004).
It looks like they are no new release for 2 years. Maybe other solutions like VMWare or Xen are prefered (if you have a lot of memory).
For now, I only used Cygwin/X, but it is sad that good UTF-8 support is still lacking !