Syntax highlighting of less, works just fine on most *nix systems.
apt install source-highlight
export LESSOPEN="| /usr/share/source-highlight/src-hilite-lesspipe.sh %s"
export LESS=' -R '
On Fedora/RedHat based distros use /usr/bin/src-hilite-lesspipe.sh instead.
Even on Cygwin you can do it with the minor adjustment of the shell script path and installing with apt-cyg instead of apt.
However, using this drastically slows down browsing of large files. I suggest to use alias in such a way to only implement the LESSOPEN export above when needed, like this:
alias lessh='LESSOPEN="| /usr/bin/src-hilite-lesspipe.sh %s" less -M '
where the -M flag is convenient to also show filename and line number.
Also remember to copy the script into your bin path:
cp /usr/share/source-highlight/src-hilite-lesspipe.sh /usr/bin/src-hilite-lesspipe.sh
UPDATE: 2019-07-24
Apparently, on more recent Cygwin installs, you have the following files in your path:
source-highlight.exe
source-highlight-esc.sh
source-highlight-settings.exe
So now you also need to execute the source-highlight-settings.exe that will add the configuration file:
$HOME/.source-highlight/source-highlight.conf.