My first "Aha moment" was when I (accidentally) discovered job control. Being able to hit ctrl-Z while editing something, do some things, type "fg" and be back where I left off was just amazing. None of the "unix emulation" products on top of dos/windows could do that (at least at the time, the ones available to me. IIRC cygwin these days has job control).
Then I bought O'Reilly's "Unix Power Tools" book (which I recommend to anyone. Great book). The next epiphany was the discovery of `` (backticks) and xargs. Command line arguments and pipes could be transformed into each other. Just wow. Then I discovered vi and permanently lost the ability to be happy with other operating systems.