In the Cygwin setup (note, you can rerun setup to install/update additional packages), install:
python-setuptools
liblapack-devel
gcc-fortran

Restarting Cygwin, run:
easy_install-2.7 https://github.com/scipy/scipy/archive/master.zip

This may take some time to build.  To confirm scipy was built correctly, in python, type:
import scipy