Hello, chickeneers--
As a by-product of my recent adventure in packaging Chicken for Windows, I discovered MSYS2.
MSYS2 is an updated version of the venerable MSYS, with 64-bit support and an optional MinGW environment, ported from mingw-w64. It offers a large selection of packages, uses the Pacman package manager from Arch Linux, and has pretty good documentation.
While I can't claim extensive experience with this project, it gave me a very good impression. It seems well put-together - a bit more of a polished and complete product than either the old MSYS or mingw-w64. The documentation, while not very extensive, as far as I can tell is accurate, up-to-date, and covers all the essential info you need in order to use the system. And there seems to be a small but dedicated group of developers working with the project.
So I think that MSYS2 may be a superior platform for developing with Chicken on Windows, and I would encourage any of you Microsoftians to check it out. So far I have been able to compile and install Chicken, and run 'csi' with no apparent problems in a standard Windows command shell; there are some issues with using csc and chicken-install, but they seem to be mostly related to problems with paths, so I imagine they can be worked out.