Cygwin? Given that it's most of the userspace environment + components as you get on a typical Linux distro, it's really quite an easy and painless experience. I probably wouldn't install it just for wget, but that wasn't the point. The point is that I install it and get wget for "free".
Probably the biggest benefit is that I can ssh w/ X tunneling and remotely run GUI programs on my Linux boxes.
I have yet to try WSL2. There's no need, really. Unless I need to do something serious, it's hard for me to see how it would suit my needs any better than Cygwin/X.
But, I don't use VSCode. I already developed just fine, on Linux, without it. And I really don't like screen-filling IDEs. I open each file it its own editor window and run commands or the debugger from a separate xterm.