Just a little while ago, somebody at Coffee Computing ported GNU Grep 2.0 to the Win32 platform. Seeing as though it was compiled with Visual C++ 5, I decided to compile it against a native Win32 version of GCC - to see how it stacked up against VC.
You can download the resulting executable here. After being stripped, it's a tad over 6k smaller than the one you can get from Coffee Computing's site. If there's a speed difference, I haven't noticed it.
If you're interested, you can get the Win32 GCC (and all of the accompanying tools) from the GNU software for Windows 95 and Windows NT page. Also, visit the Minimalist GNU Win32 page for more info.
For a more *nix based GCC, see the CYGWIN32 Project by Cygnus Solutions.