From the Busybox website:

Busybox combines tiny versions of many common UNIX utilities into a single small executable. [...] The utilities in BusyBox generally have fewer options than their full-featured GNU cousins; however, [they] behave very much like their GNU counterparts. (read more)

Busybox is used mainly in small embedded Linux systems where a full GNU install isn't possible, but it's also a great way to quickly get a bunch of Unix utilities on Windows.

Ron Yorston maintains the most up-to-date Windows port of Busybox that I could find.

If you use Scoop, you can install Ron's latest release of Busybox with:

scoop install busybox

At 621KB, it only takes a few seconds to download and install—before you know it, you'll have a bunch of Unix utilities ready to use.

$ uname -a
Windows_NT LUKESAMPSONBB0D 6.1 7601 i686 MS/Windows
$ wget http://google.com
Connecting to google.com (74.125.237.193:80)
Connecting to www.google.com (74.125.237.180:80)
Connecting to www.google.com.au (74.125.237.183:80)

You can see a complete list of programs that Busybox supports on Windows by running busybox or busybox --list.

Of course some of these programs have much more complete versions available through Scoop. For example, you can "overwrite" the Busybox version of wget by running scoop install wget. Or, if you already had wget installed before you installed Busybox, you can run scoop reset wget to revert to using the full version of wget. If you're not sure which version is active, scoop which wget will show you.