Enrico's instructions on the Wiki about how to install LyX in Cygwin are extremely well-written: http://wiki.lyx.org/LyX/LyXOnCygwin
Unfortunately, it takes me about half the day to follow them, since compiling takes so long, and since I must periodically enter new commands. Furthermore, there are a few minor quirks when installing branch and enabling gdb. I needed to reinstall Cygwin, so I took the opportunity to gather everything into the attached script. You can launch it at night, and if all goes well, the next morning you'll find 1.6.4svn installed, and ready for debugging! Enrico (or anyone else) is welcome to do as he wishes with my script, modifying it, posting it, etc. I hope people find it helpful! -Ben
lyxinstall.sh
Description: Bourne shell script