For the short term at least, we plan to continue shipping the Cygwin based version of GDB, however, it is nice to know that MinGW has finally caught up to the mainstream. If it proves to be a stable solution and MinGW keeps current with GDB releases over the next year, I will definately consider making the switch for SlickEdit 2008. If MinGW doesn't keep up, it would be a mistake for us not to stick with the Cygwin GDB.
If you personally prefer to use the MingW GDB 6.6, just point SlickEdit at it by going to Debug > Debugger Options..., Configurations tab. Add it to the list and make it the "default native debugger"