Take a look at Cygwin.
Alternatively, for native Windows scripting capabilities you can go with Windows PowerShell.
MSys provides bash.
As already mentioned, Cygwin provides it.
Git for Windows provides it (uses a customized install of MSys’).
All of these can easily be added to Windows’ PATH so that they’re callable from within the Command Prompt (for Git’s, you can simply use ‘bash -l’ to switch; it’s also the only one that keeps you within the directory you called it from, as MSys and Cygwin jump you to their $HOME directories).
Another option is clink, which extends the capabilities of cmd.exe itself (although it still has some quirks that need to be ironed out).