There are issues, yes, and you may need the MinGW tool chain to get the GUI packages to build and install properly, but it does work. I have blogged about some of my experiences, both good and bad, at http://jpmoresmau.blogspot.com/. What GUI tool specifically do you want to use?
I still cannot seem to get a GUI working under Windows.
For Haskell GUI's is Ubuntu easier to setup.
If so, we're losing people if Haskell GUI's are so hard to get working under Windows.
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