xypic: 2-Cell Triangle Identities

I do not use xy anymore, as it is not that easy and powerful as tikz-cd. I hope, this solution will help you as well:

% arara: pdflatex

\documentclass{article}
\usepackage{tikz-cd}

\begin{document}    
\[\begin{tikzcd}[row sep=3em]
C \arrow{r}{F} \arrow[""{name=foo}]{dr}[swap]{1_C} & D \arrow{d}{G} \arrow[Rightarrow, from=foo, swap, near start, "\eta"]& D \arrow{d}[swap]{G} \arrow[""{name=bar, below}]{dr}{1_D} & \\
& C & C \arrow{r}[swap]{F} \arrow[Rightarrow, to=bar, swap, near start, "\varepsilon"] & D
\end{tikzcd}\]
\end{document}

---

As you wished, here is a solution with xy. It is quite hacky. Using the examples mentioned by Sigur would be better, I guess. But as xy is able to manage empty matrix entries, I used this in order to point arrows to where I want. The double amount of matrix nodes is necessary though.

% arara: pdflatex

\documentclass{article}
\usepackage[%
,all
%,cmtip % recommended, but I do not know how to get it to work for the double arrow
]{xy}

\begin{document}    
\[\xymatrix@R=4mm @C=4mm{ 
    C\ar[rr]^{F} \ar[ddrr]_{1_{C}} & & D \ar[dd]^{G} & & D \ar[ddrr]^{1_{D}} \ar[dd]_{G} & & \\ 
    &\ar@2{->}[ur]_{\eta} & & & & & \\
    & & C & & C \ar@2{->}[ur]_{\varepsilon} \ar[rr]_{F} & & D 
}\]
\end{document}

Another xy-pic solution with a different approach:

\documentclass{article}
\usepackage[all]{xy}

\begin{document}
\[
\xymatrix{ 
  C\ar[r]^{F}\ar[dr]_{1_{C}} & D\ar[d]^{G}\ar@{<=}[dl]+<22pt>^>>>{\eta} & & D\ar[dr]^{1_{D}}\ar[d]_{G}                      & \\ 
                             & C                                        & & C\ar[r]_{F}\ar@{=>}[ur]-<22pt>_>>>{\varepsilon} & D 
}
\]
\end{document} 

Output: