If you are on Windows 10, no doubt you have heard that Microsoft included the bash shell in its 2016 Windows 10 anniversary update. What you may not know is that this is much, much more than just the bash shell. This is a whole Linux layer that enables you to use Linux tools, and does away with a further layer like Cygwin (which requires a special dll). However, you will only get the bash shell out of the box. To enable the whole Linux layer, follow instructions here. Basically, this involves enabling developer mode then enabling the Linux layer feature. In the process, you will download some further software from the Windows store.
Why is this big news? To me, this installs a lot of the Linux tools that have proven useful over the years, such as wc, sed, awk, grep, and so forth. In some cases, these tools work much better than software packages such as R or SAS, and their power comes in combining these tools through pipes. You also get apt-get, which enables you to install and manage packages such as SQLite, octave, and gnuplot. You can even install R through this method, though I don't know if RStudio works with R installed in this way.
If you're a Linux buff who uses Windows, you can probably think of many more things you can do with this. The only drawback is that I haven't tried using any sort of X Windows or other graphical interfaces.