Microsoft's very own Subsystem for Unix Applications (SUA). Only available with Windows Ultimate and Enterprise though.
Correction: SUA does not have Unicode support. According to its
locale -a command, it only supports ISO-8859-1, EUC-JP, and SJIS.
On a related note, MKS Toolkit, which is another Unix-like environment for Windows, also does not support Unicode in filenames, according to its unicode.5 manpage.
MKS Toolkit utilities cannot handle non-OEM characters in file names unless the locale supports double byte character (such as the Japanese locale). Consequently, even though the utilities support UTF-8 and Unicode characters in files on all platforms, to achieve maximum portability across all Windows platforms, all file names used in scripts for utilities like awk, sh, csh and others should contain only ASCII characters from the OEM code page.