GCC worth using on Windows to replace MSVC?

MSVC has the huge advantage of coming with an IDE that has no equals under Windows, including debugger support.

The probably best alternative for MinGW would be Code::Blocks, but there are worlds in between, especially regarding code completion and the debugger.

Also, MSVC lets you use some proprietary Microsoft stuff (MFC, ATL, and possibly others) that MinGW has no support for, and makes using GDI+ and DirectX easier and more straightforward (though it is possible to do both with MinGW).

Cygwin, as mentioned in another post, will have extra dependencies and possible license issues (the dependency is GPL, so your programs must be, too). MinGW does not have any such dependency or issue.

MinGW also compiles significantly slower than MSVC (though precompiled headers help a little).

Despite all that, GCC/MinGW is an entirely reliable quality compiler, which in my opinion outperforms any to date available version of MSVC in terms of quality of generated code.
This is somewhat less pronounced with the most recent versions of MSVC, but still visible. Especially for anything related to SSE, intrinsics, and inline assembly, GCC has been totally anihilating MSVC ever since (though they're slowly catching up).

Standards compliance is a lot better in GCC too, which can be a double-edged sword (because it can mean that some of your code won't compile on the more conforming compiler!), as is C++11 support.

MinGW optionally also supports DW2 exceptions, which are totally incompatible with the "normal" flavour and take more space in the executable, but on the positive side are "practically zero cost" in runtime.

I want to add some information because the field may have changed since the question was asked.

The main problem for switching away from MSVC was the lack of a good IDE that flawlessly integrates with MinGW . Visual Studio is a very powerful tool and was the only player on Windows for quite some time. However, Jetbrains released a preview version of their new C++ IDE CLion some days ago.

The main benefit comes when working on cross platform applications. In this case, a GCC based tool chain can make life much easier. Moreover, CLion narrowly integrates with CMake, which is also a big plus compared to Visual Studio. Therefore, in my opinion, it is worth to consider switching to MinGW now.