Mandrake 9.2 it was.. I had some weirdness with the second network card on the machine, but other than that, slick install. It detected things properly and made all the correct noises, so that was pretty much ok..
The bigger headache, however, was exporting XWindows across the firewall. I knew how to setup XForwarding over SSH(btw, props to Cygwin developers, the XFree implementation is now pretty stable, unlike the last time I tried), so I did that.. but I dont get the shiny KDE desktop ;) or the shiny Gnome desktop either.. Oh, well ..
heard nice things about VNC (but those ports are blocked too, and I am wary of setting up another portforward right now..)
Reading up about XML catalogs now..hadnt seen them before.. thanks to all who suggested solutions to my nasty little entity problems, I tried using HTML::Parser, and that worked. Catalogs seem to be the XML-ish way of doing the same thing, I think.
Yes, Cygwin X is wonderful. I'm using it now with window maker and am very happy.
You can install KDE on Cygwin, but I found the performance to be lacking. You can supposedly install GNOME there, too, but I couldn't do so successfully.