You can run OpenSSH on Cygwin, and even install it as a Windows service.
I once used it this way to easily add backups of a Unix system - it would rsync a bunch of files onto the Windows server, and the Windows server had full tape backups.
VanDyke VShell is the best Windows SSH Server I've ever worked with. It is kind of expensive though ($250). If you want a free solution, freeSSHd works okay. The CYGWIN solution is always an option, I've found, however, that it is a lot of work & overhead just to get SSH.
I agree that cygwin/OpenSSH is the best choice, but its setup can be involved to say the least. Here is a document to get you started though: Installing OpenSSH
I've been using Bitvise SSH Server and it's really great. From install to administration it does it all through a GUI so you won't be putting together a sshd_config file. Plus if you use their client, Tunnelier, you get some bonus features (like mapping shares, port forwarding setup up server side, etc.) If you don't use their client it will still work with the Open Source SSH clients.
It's not Open Source and it costs $39.95, but I think it's worth it.
UPDATE2009-05-21 11:10: The pricing has changed. The current price is $99.95 per install for commercial, but now free for non-commercial/personal use. Here is the current pricing.
I've been using Bitvise SSH Server for a number of years. It is a wonderful product and it is easy to setup and maintain. It gives you great control over how users connect to the server with support for security groups.