“Here”:http://www-106.ibm.com/developerworks/library/l-tip-prompt/ is a nice reference for customizing the bash prompt. Below is the PS1 that I use for bash under cygwin on my XP machine. A little color and it sets the title bar to the complete path of the current directory.
PS1="\[\e]2;\w\a\e[32;1m\]\u@\h \[\e[33;1m\]\W\[\e[0m\] $ "