Well, for the people who want to use PuTTY for their local Cygwin there is a solution: PuTTYcyg. PuTTYcyg is just a patched version of PuTTY which adds “cygterm” as a connection-type. If you wan’t to use it with a desktop/tray shortcut you have to call
putty.exe -cygterm - where putty.exe is of course the patched PuTTYcyg version.
The reason for me to use PuTTYcyg instead of rxvt is the Full-Screen-mode of PuTTY. Besides that I guess there are other advantages over rxvt (like being able to change font and terminal-emulation-options for the running session). Oh, and don’t fear, of course it supports 256 colors just fine ;)