Get that Linux feeling - on Windows
Some work remains to be done in documenting the Cygwin API. In addition to the Cygwin API Reference and information in the FAQ, you may want to check source code file winsup/cygwin.din which lists all of the Cygwin DLL exports.
We have some preliminary docs on how to profile the Cygwin DLL.
Information on building and using DLLs is here.
Also note that there is quite a lot of useful information in the project mailing list archives.