The Windows SDK is FREE.
The Visual Studio Express Editions are FREE.
Microsoft Robotics Studio is FREE.
XNA/Windows Mobile development tools are FREE.
My experience with MS development (some time ago) for Windows and XBox was expensive. The MSDN library was an expensive subscription and it was pretty mandatory for commercial Windows development. MS also charge for game submissions (on a per submission basis).
Apple's token cost to prevent casual downloaders grabbing multiple 4Gigabyte files per year really doesn't seem like the end of the world.
C.