Dawid Ferenczy's answer is pretty complete but after I tried almost all of his options I've found that the Chocolatey’s cyg-get was the best (at least the only one that I could get to work).

I was wanting to install wget, the steps was this:

choco install cyg-get 

Then:

cyg-get install wget 

Dawid Ferenczy's answer is pretty complete but after I tried almost all of his options I've found that the Chocolatey’s cyg-get was the best (at least the only one that I could get to work).

I was wanting to install wget, the steps was this:

choco install cyg-get 

Then:

cyg-get wget