Also, in the Wayback Machine: http://web.archive.org/web/20130730040920/http://www.soren.schimkat.dk/Blog/?p=69
The advantage compiling rdesktop in Cygwin has over using the RDP client built into Windows is that you can use the local keyboard layout on the remote host without having to alter the remote keyboard layout. In some cases, even altering the remote keyboard layout won't change the built-in RDP client's keyboard layout from the Sholes Workaround (QWERTY), so compiling rdesktop in Cygwin is the only way to use a sensible keyboard on an RDP host from a Windows client.
Also, check out XRDP for turning an X11 server into an RDP host. (Connect to remote Unix/Linux desktops from stock Windows desktops.)