Get that Linux feeling - on Windows!
Installing and Updating Cygwin
When installing packages for the first time, setup.exe does not install every package. Only the minimal base packages from the Cygwin distribution are installed by default. Clicking on categories and packages in the setup.exe package installation screen will provide you with the ability to control what is installed or updated. Clicking on the "Default" field next to the "All" category will provide you with the opportunity to install every Cygwin package. Be advised that this will download and install hundreds of megabytes to your computer. The best plan is probably to click on individual categories and install either entire categories or packages from the categories themselves.
The latest net releases of the Cygwin DLL are numbered 1.n.x, where "n" is currently "7" (e.g., 1.7.5). The 1.n.x version numbering refers only to the Cygwin DLL. Individual packages like bash, gcc, less, etc. are released independently of the DLL. The setup.exe utility tracks the versions of all installed components and provides the mechanism for installing or updating everything available from this site for Cygwin.
Once you've installed your desired subset of the Cygwin distribution, setup.exe will remember what you selected so rerunning the program will update your system with any new package releases.
Q: Is there a command-line installer?
A: Yes and no. The setup.exe program understands command-line arguments which allow you to control its behavior and choose individual packages to install. While this provides some functionality similar to such tools as apt-get or yum it is not as full-featured as those packages.
The basic reason for not having a more full-featured package manager is that such a program would need full access to all of Cygwin's POSIX functionality. That is, however, difficult to provide in a Cygwin-free environment, such as exists on first installation. Additionally, Windows does not easily allow overwriting of in-use executables so installing a new version of the Cygwin DLL while a package manager is using the DLL is problematic.