The Internets are full of information about how to set up your own cygwin morror. But this gist tells you how to set up a mirror that is nearby your computer.
The command is: apt-cyg update --mirror (mirror-url), e.g. for CA, USA:
apt-cyg update --mirror http://mirrors.kernel.org/sourceware/cygwin/
The list of mirrors is here. Enjoy!