I'm using SDL for writing a DJ application and have it cross-building on Linux, Windows, and the target platform (HP TouchPad).
For the Windows build I'm using the excellent http://www.mingw.org/ Mingw32 environment. I compiled SDL and my other needed libraries myself and there's pretty much no code differences.
The only downside to mingw32 is that my target platform has full POSIX and mingw32 doesn't, so sometimes I have to choose carefully to use stdlib functions and not a POSIX function.
For the Windows build I'm using the excellent http://www.mingw.org/ Mingw32 environment. I compiled SDL and my other needed libraries myself and there's pretty much no code differences.
The only downside to mingw32 is that my target platform has full POSIX and mingw32 doesn't, so sometimes I have to choose carefully to use stdlib functions and not a POSIX function.