In order to make the connections to several servers through SSH easier, I use public/private keys-based authentication.
Cygwin provides all the basic tools related to SSH : ssh client, ssh-keygen, ssh-copy-id, ssh-add and ssh-agent.
Once I created my DSA keys with a passphrase, I sent my public key to all the involved servers with the ssh-copy-id utility. So, each time I connect to a server, I only have to type my passphrase. It is possible to avoid it by using ssh-agent.
To start it : exec ssh-agent /usr/bin/bash
If you do not use exec, you will get the following error message :
Could not open a connection to your authentication agent
To add your DSA identity to your authentication agent : ssh-add ~/.ssh/id_dsa
Type your passphrase once and then, you will not need to type it anymore. You will be able to connect to servers where you have uploaded your public key.
This solution works only for your current xterm. If you open a new xterm session, you will have to type your passphrase.