Automated cygwin installation, with thanks to http://old.nabble.com/Re%3A-Customizable-cygwin-setup.exe-p25828300.html

install.bat

@ECHO OFF
REM -- Automates cygwin installation

SETLOCAL

REM -- Change to the directory of the executing batch file
CD %~dp0

REM -- Configure our paths
SET SITE=http://mirrors.kernel.org/sourceware/cygwin/
SET LOCALDIR=%LOCALAPPDATA%/cygwin
SET ROOTDIR=C:/cygwin

REM -- These are the packages we will install (in addition to the default packages)
SET PACKAGES=mintty,wget,ctags,diffutils,git,git-completion,git-svn,mercurial
SET PACKAGES=%PACKAGES%,gcc-core,make,automake,autoconf,readline,libncursesw-devel,libiconv,zlib-devel,gettext
SET PACKAGES=%PACKAGES%,lua,python,ruby
SET PACKAGES=%PACKAGES%,vim

REM -- Do it!
ECHO *** INSTALLING PACKAGES
setup -q -D -L -d -g -o -s %SITE% -l "%LOCALDIR%" -R "%ROOTDIR%" -C Base -P %PACKAGES%

REM -- Show what we did
ECHO.
ECHO.
ECHO cygwin installation updated
ECHO  - %PACKAGES%
ECHO.

ENDLOCAL

PAUSE
EXIT /B 0

Is there any way to automatically install and run sshd?

After installing Cygwin, run these two commands:

ssh-host-config
net start sshd

The first command above requires human interaction to answer questions, so it's not 100% "automatic".

Nice and clean script. I'll suggest modifying the call for setup to:
setup-x86_64.exe --no-admin -q -D -L -d -g -o -s "%SITE%" -l "%LOCALDIR%" -R "%ROOTDIR%" -C Base -P %PACKAGES%
Windows 10 run mostly on 64 bit - and with --no-admin you avoid limitations on user rights

how would one add a fish shell to it? by replacing mintty with fish?

https://gist.github.com/wjrogers/1016065#gistcomment-1954723