Run the Cygwin gnome-terminal from a Windows shortcut (and start the keyring daemon)

.startterminal.sh

#!/bin/bash
# Place this somewhere sensible - your Cygwin home directory should suffice
export DISPLAY=:0.0

#if [ -n "$DESKTOP_SESSION" ];then
    eval $(gnome-keyring-daemon --start)
    export SSH_AUTH_SOCK
    export GNOME_KEYRING_CONTROL
#fi

/usr/bin/gnome-terminal.exe

misc-shortcuts.txt

Create a shortcut in your Startup folder to run the XWin Server:

Target: C:\cygwin64\bin\run.exe --quote /usr/bin/bash.exe -l -c "cd; /usr/bin/startxwin"
Start In: C:\cygwin64
Comment: /usr/bin/run.exe

Create a shortcut in the start menu to run the .startterminal.sh script (note the path following -c is a Cygwin path):

Target: C:\cygwin64\bin\run.exe --quote /usr/bin/bash.exe -l -c "/path/to/.startterminal.sh"
Start In: C:\cygwin64
Comment: /usr/bin/run.exe