How to make Cygwin shortcut stick to Windows 7 dock
I just created a shortcut to "E:\cygwin\bin\bash.exe --login -i" on my desktop, ran that, and then pinned the resultant process to the task bar, and it seems to have worked.
You could use mintty, which aside from being easily pinnable has lots of other advantages over the console, e.g. free resizing and standard copy&paste. To be found under 'Shells' in Cygwin's setup.exe.