This happens to me all the time - I usually have to launch the X stuff 2 or 3 times before it actually works.
I have to manually kill off all xterm.exe, bash.exe, and other cygwin programs in between the launches. I keep meaning to look into it more, but since I start it less than once a week, I haven't had enough incentive to dig deeper yet. I just set up cygwin on another machine this week, and it suffers the same problem. Dan