I've never gotten around to checking gnustep, but it has a Windows installer. It hasn't really kept up with the advances in Cocoa, but the Objective-C and the basic framework should be usable on Windows. I don't know what it uses for an IDE.
Apple announced some interesting new developer tools at WWDC: the LLMV compiler to replace gcc, and the SproutCore JavaScript framework. They are open source projects, so they should be available on Windows too.
It's got one: ProjectCenter