Here's the script I use to setup cygwin's X session on my desktop, it offers very user-friendly X-term sessions with interactive bash login shell.
#! /bin/sh
export DISPLAY=127.0.0.1:0.0
export PATH=/usr/bin:"$PATH"
unset XAPPLRESDIR
unset XCMSDB
unset XKEYSYMDB
unset XNLSPATH
# Cleanup from last run.
rm -rf /tmp/.X11-unix
# The error "Fatal server error: could not open default font 'fixed'" is
# caused by using a DOS mode mount for the mount that the Cygwin/X
# fonts are accessed through. See the Cygwin/X FAQ for more
# information:
# http://x.cygwin.com/docs/faq/cygwin-x-faq.html#q-error-font-eof
# Description of XWin-specific options is in XWin(1) manpage.
#
# Startup the programs
#
# Startup the X Server with the integrated Windows-based window manager.
# WARNING: Do not use 'xwinclip' in conjunction with the ``-clipboard''
# command-line parameter for XWin. Doing so would start two clipboard
# managers, which is never supposed to happen.
XWin -multiwindow -clipboard -silent-dup-error &
#XWin -scrollbars -emulate3buttons -clipboard -silent-dup-error &
# Startup an xterm, using bash as the shell.
#xterm -e /usr/bin/bash -l &
xterm -bg black -fg gray +bdc +cm -geometry 80x60 -e /usr/bin/bash -i -l &
xterm -bg black -fg gray +bdc +cm -geometry 80x60 -e /usr/bin/bash -i -l &
xterm -bg black -fg gray +bdc +cm -geometry 80x60 -e /usr/bin/bash -i -l &
#
# Startup the twm window manager.
# WARNING: Do not use an external window manager in conjunction with
# the ``-multiwindow'' command-line parameter for XWin. Doing so
# would start two window managers, which is never supposed to happen.
#
# twm &
# Set a background color. Only needed when not using -multwindow for XWin.
# xsetroot -solid aquamarine4
# Return from sh.
exit