Factor has only compiled on MinGW since we made the Windows Factor port a couple of years ago. The problem with Cygwin has been its dependence on cygwin1.dll, which slows your program. Also, the Cygwin installer doesn't add it to your path, so that is one more step (and not standard). Additionally, structured exception handling (SEH) works the first time but hangs on the second time it triggers with the dll, e.g. on the second stack underflow.
However, Eric Mertens, a new Factor user, found a compiler flag to disable cygwin.dll:
Three cheers for new users!
This flag fixed both the dll dependency and the SEH bug, allowing all unit tests to pass. The only other change I had to make for the port was to #include <wchar.h> for the compiler to find wcslen().
So now you can compile Factor with either MinGW or Cygwin, and both versions are officially supported.