Coming from personal experience, most of my "guru"-ness came from being forced to learn and make do in Linux. Grab yourself a copy of the Ubuntu livecd and brush up on privilege elevation (sudo), file-editing (vim, emacs, or nano), help files (man), and your basic filesystem commands (mv, mkdir, ls, cd, rm, ln, etc.). After that, start using the live CD for periods of time. Few hours here, maybe all day there. Whenever you encounter a problem, tell yourself that you'll fix it using the command line, and don't break that rule. Use Google or Super User until the problem is solved (99% of the time you can copy an error string directly into Google and one of the top 3 posts will be your answer). There's not really a guide to becoming familiar with Cygwin/Linux - it's developed over time through a need to figure out how to do things, many of which Windows does for you, or provides a simple interface. Part of learning an environment is understanding the system beneath it.
If you don't wish to bother with a livecd, simply agree with yourself that certain tasks you'll do in Cygwin - try "banning" yourself from Windows Explorer. Then the Start menu. Then the Control Panel, and all its associated dialog boxes. If you need to use them, find a way to perform the function either through cmd.exe or Cygwin. It will take time, but if you don't let yourself go the "easy" route, it'll help you to understand both how Windows is put together, and what tools you have available to get the job done. I never knew about grep until I had to dig through log files - but I can't live without the tool now.
As far as suggestions on "how should [you] be setting up [your] environment", that's much harder to answer, as the defaults are quite good, and it's often left up to personal taste. For instance, I always work inside of a screen session, and I've changed the visual bell from "Wuff! -- Wuff!" to "Peons require your attention!" as well as changing the termcap to support 256 colors. I've customized the hardstatus, and googling around for such will present you with a myriad of options.
