Let's summarize the choices in a concise list:
- Use makefiles: implies the use of MinGW compiler in DOS prompt.
- Use configure+make; then choose between
- Using MSYS and MinGW compiler
- Using Cygwin and Cygwin compiler
- Using Cygwin and MinGW cross-compiler
The choice (1a) is probably the simplest one if you want to install as few things as possible. However, it doesn't allow you to easily specify many compilation options (you need to edit setup.h file instead of just passing options to configure on command line) and, worse, it doesn't produce a wx-config script as part of the build -- and even if it did, there would be no way to use it without some kind of Unix-like shell.
Because of this, I always recommended using the second approach to building wxWidgets. Moreover, personally I've always favoured using Cygwin because I use zsh all day long anyhow. However traditionally you had to use Cygwin compiler which was the worst of the lot. Not only did it always lag a version or two (and sometimes more) behind the latest available MinGW one, but it also was significantly slower than MinGW version. And, of course, the binaries created by it depended on cygwin1.dll. Because of this, people fond of Cygwin (or, alternatively, not fond of many MSYS problems), also tried to use native MinGW compilers under Cygwin and this could be made to work but was so painful because you had to painstakingly ensure that both MinGW compiler and Cygwin tools could understand the paths you used (which basically meant that only relative paths could be really used as absolute paths take different forms for Windows-based MinGW compiler and Cygwin-based tools) that I could never wholeheartedly recommend it.
So I was very pleasantly surprised when I learnt that Cygwin now provides recent versions of MinGW cross-compiler or, rather, several of them. As Charles Wilson explains here, there is a cross-compiler for Win64 from MinGW64 project, another cross-compiler for Win32 from the same project and also a Win32 cross-compiler from "traditional" MinGW. Hence now you have yet another choice to make in case (2c).
Obviously, if you need to target Win64 the choice is easy to make, as there is only one of them. I recommend using MinGW64 version of Win32 cross-compiler as well for two reasons: first, it seems quite likely that you will need to target Win64 later even if you don't need it now, so why not use the same compiler that would allow you to build for Win64 later. And second, MinGW64 uses the so-called SJLJ exceptions which can propagate through the code not compiled with gcc, e.g. all Windows system DLLs. And in practice this is needed to be able to catch any exceptions thrown by your wxWidgets event handlers. So while DW2 exceptions used by MinGW version do have their advantages (in particular they are much more speed-efficient), SJLJ ones are preferable for wxWidgets GUI applications.
To summarize, my recommendation for building wxWidgets under Windows using gcc is now straightforward and unambiguous: use MinGW64 compiler under Cygwin. To be more precise, you need to install Cygwin (if you don't have it yet) and its mingw64-i686-gcc-g++ package (you shouldn't download this file directly though, use Cygwin setup program to install it with all its dependencies). Then you simply need to run wxWidgets configure with the following options:
$ /path/to/wx/configure --host=i686-w64-mingw32 --build=i686-pc-cygwin ...
and run make as usual. You can also use wx-config script and, in general, things are almost as nice as under Unix. Just don't forget to use i686-w64-mingw32-g++ compiler instead of plain g++ if you write it manually instead of using `wx-config --cxx` output.
Another good news is that the speed of the compiler seems to have improved dramatically since the bad old gcc3 days: building the entire wxWidgets takes less than 4 minutes here with make -j8 in default shared library build. Running configure itself is still painfully slow the first time but reasonably fast afterwards if you use -C option to cache the tests results.
Good luck building your applications using wxWidgets using Cygwin cross-compilers and thanks for Cygwin and MinGW(64) folks for making it faster and easier than ever!