The current version of git installed with Cygwin (1.5.x) has at least one annoying bug so it's worth building  the latest version (NB I have almost all of Cygwin installed - you may need to install additional development tools and libs):
  1. Download and unpack the source code. Pointer here
  2. Run './configure --prefix=/usr/local'
  3. Run 'make test'
  4. Ignore errors relating to not detecting unwritable repos
  5. run 'make install'
  6. run 'hash -r'
  7. Make sure it's installed with 'type git' and 'git --version'
Update March/09 -- I found more detailed instructions