My home setup is an XP Pro machine and a Linux machine. I used to have each on a monitor and a keyboard, but now I run an X Server on my PC and display my windows on there.
It works a treat, and looks really, really good.
I use Labtam's software (google for it...); it's not cheap, but it works well. (I used MI/X before that, and it - frankly - sucked.)
Cygwin, I use on occasion, and think is very clever, but so deeply difficult to get working right.