My favourite shell environment for windows thus far is combining Git For Windows with scoop[1]. A simple "scoop install git" will get the environment installed, and give you a bash shell and full access to all sorts of windows-native utilities from scoop. Some would say I'd be better off with msys2 or cygwin, but the former is meant more as a development environment and lacks misc utilities, and the latter has what is possibly the worst package manager that is still in use (and generally less stellar integration with windows programs).
Scoop favors portable installs and typically manages upgrades and migrations for you. It does support non portable tools but these live in a different bucket.
Chocolatey, and to a greater extent, winget typically defer to the individual applications. In my experience they are more like glorified download indexes than actual repositories for managing software.
Scoop rarely pollutes Windows registry which is what often triggers the corporate blocklists. The portable install is a feature here, compared to chocolatey or winget.
Installing something with chocolatey means downloading some powershell script, with somewhat arbitrary contents, and running that to do all sorts of install, restart, migration, etc., logic, of varying quality, and with varying philosophies of what should be done "automatically".
Installing something with scoop means downloading a declarative json manifest, with occasional, short pre-install/post-install levels of scripting (in all cases I've seen, it amounts to testing if a file is present, and copying it if so, etc.). The complexity that is tolerated for the scripting is much much lower.
I've also found chocolatey to be less well curated, with some odd packages with simple names that come from random people who don't seem to do a great job at maintaining the package.
When I tried using chocolatey, you had to pay them in order to specify a default install directory rather than needing to include it explicitly in every command. I don't know if this is still the case but I formed a deeply held grudge over it.
When I tried using winget, it mostly worked quite well, but occasionally would fail horribly. It'll happily detect and offer to upgrade programs that were installed outside winget, for example - great feature!! - except one time when I tried doing this it installed a new instance to a default location instead of upgrading in place, so now I had two installations. I don't trust it.
Scoop is simple and sensible and just works in exactly the way I expect it to. With the exception of needing to install scoop-search.
winget seems to have replaced chocolatey for the most. Chocolatey is a bit weird with their play to make money, I guess they want to milk it for as much as they can till it dies.
[1]: https://scoop.sh/