Windows won't be able to read Cygwin-created symlinks, but you can create Windows symlinks using Windows commands, and Cygwin will treat those as symlinks.
On Vista and 7, this can be done with 'mklink'. This is a cmd.exe builtin rather than a standalone utility, so if you want to invoke it from a bash shell you have to do 'cmd /c mklink', and of course it will only understand Windows paths.
For XP, the 'Windows Resource Kit Tools' contain a utility called linkd that can be used to create directory links.
与恶龙缠斗过久,自身亦成为恶龙;凝视深渊过久,深渊将回以凝视…