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XLiveCD
There is also FreeNx, a kde supported version of NX server/node. Anyway NX provides a free edition of his great peace of software. Try here: http://www.nomachine.com/select-package.php?os=linux&id=1
The advantage of this method is that most of that config stuff is already contained in what cygwin downloads, and they give you that nicely pre-made batch file to just click on.
Another nice thing about this method is that you can still use Putty along with the X11 stuff cygwin installs if you prefer it to cygwin. I assume you could also use Cygwin with Xming as well.
I forgot to note, in case it isn't clear to people, that the program is being run on the linux box, and is just being displayed on your windows box. If you have a slow network connection, or latency issues, you will experience some lag. However, this works great when your linux server is on an internal network. You don't hardly notice any lag.