After installing Cygwin, for the 100th time, on the 89th Windows machine, I was again plagued with not being able to use arrow keys in vim via an ssh connection.
Turns out the solution is dead simple:
cp /usr/share/vim/vim##/vimrc_example.vim ~/.vimrc
Replace ## with your vim version, of course. That’s all.
[ht] http://simonmcc.blogspot.ca/2005/06/cygwin-vim-rxvt-arrow-key-problems.html