Setup a DocBook build environment on Cygwin
openjade
jadetex (no offical package for this)
docbook-dsssl (no offical package for this and getting the stylesheets set up properly is a black art)
Note: A useful, if slightly dated, introduction to setting up a docbook build environment and editing tools can be found in the SGML for Windows NT: Setting up a free SGML editing and publishing system on Windows NT/Cygwin document.