As you’ll probably know, you can install a bunch of plugins into Cygwin, but only during installation. Do the following to make life easier for yourself.
After installation, copy the setup executable into the cygwin folder.
Create install-pkg.bat with the following contents:
setup-x86_64.exe --no-desktop --no-shortcuts --no-startmenu --quiet-mode --root "%cd%" --packages %*
Now you can cd into /cygdrive/c/cygwin64 and install a package like so:
$ ./install-pkg.bat wget