If you're targetting Cygwin, the correct target is i686-pc-cygwin. There are other systems that are not Cygwin but are PE (Interix, MinGW, WinCE), but may not be supported by as many modules (such as gdb) as Cygwin itself is. The reason is that, perhaps, Cygwin provides additional APIs that are needed for the gdb (or whatever) port.