David Golden recently alerted me to his Strawberry Perl distribution for Win32. It bundles GCC, dmake and a slew of useful modules and for my money provides a better out of the box experience than ActiveState. The default for installing modules is cpan rather than ppd and the bundled GCC means that XS modules build just fine. It also bundles David's excellent CPAN::Reporter which means you'll be giving module authors helpful Win32 feedback every time you install.
It's currently alpha but I found it completely stable. It manages to work pretty much like Perl on other platforms without having to pretend that Windows is another platform (à la Cygwin).
Highly recommended, thanks David.