Whenever I install a fresh cygwin these are the optional packages I select:
Web -> Wget
Shells -> rxvt (VT102 terminal emulator), mc (Linux midnight commander for file mgmt)
Net -> whois
Dev -> rcs, cvs, gcc-g++, gcc-gdc (D compiler), Boost
Archive -> zip
Interesting things include Text->Antiword (ms word reader). I don't bother with ping (Windows has it) or Python/QT (since cygwin tends not to have the latest versions).