If you do command line work like I do, and remote into a linux machine via ssh, you may or may not be aware of ssh keys. If you use an ssh key you can log into the machine without a password. However to keep things secure, you really should use a password on your ssh key, but if you had to type in the password every time you used the key, that would sort of defeat the purpose of the ssh key. So they have ssh-agent for linux and cygwin (if you're using putty use pagent instead).
Normally you first run ssh-agent, then run ssh-add (or just have it loaded via kde, gnome, or .bash_profile if you don't use a gui at all on linux). On cygwin though you might encounter the error message "Could not open a connection to your authentication agent" when you type in ssh-add. The solution is apparently to run the following command: "exec ssh-agent bash", and once you get a new bash shell then type ssh-add.