If you run a virtual Linux machine as a VMware appliance, and you have VMWare Tools installed, you can let it write to folders accessible from the Windows host. This takes two steps.

First, in VMware Player (as of 3.0) you edit the virtual machine settings -- enable Shared Folders in the Options tab, and add a host path there -- say C:\data\share_with_vm. You can add several distinct Windows paths here.

Next, you add this line to /etc/rc.local right before the "exit 0" line:
 

mount -t vmhgfs .host:/ /home/user/Shares

 

Your Linux virtual computer will see any of the Windows folders you shared at the first step as children of the ~/Shares directory. Adding this line to /etc/rc.local makes Shares available to you as soon as you start the VM.

This is how I do Linux on my work computer now, after I first tried Cygwin, then had a dual-boot setup for a while.