Mingw/Gcc in my opinion is the best because produces executables which are enough small (if compared to other compilers) and then it's multiplatform so building a windows/linux program is more simple than with other compilers (for example "#include <stdint.h>" and other syntax related stuff).
The problem of Mingw, as you have seen, is just the biiiig amount of packages caused by the independent updating of all the components.
If I'm not in error there is a way which auto install mingw (Automated MinGW Installer), I used it in the past but wasn't happy because it didn't allow me to use the latest beta stuff, probably now it's better.
So how I downloaded Mingw?
Simple,
http://sourceforge.net/project/showfile ... up_id=2435 and download all the most recent things paying attention to avoid the *src* packages.