How to graphically interface with a headless server?

Yes, X forwarding over ssh is a beautiful thing indeed. It allows you to use graphical applications on an app by app basis and have windows handled by your own desktop environment. You do not even need a desktop environment installed on the server.

You do need to set up some authentication things for it to work though. I believe you need xauth for that.

It's SO much faster than VNC as well. VNC was always rather laggy in my experience.

Edit: I have no experience using this method via Windows, but I found this tutorial for you if you're interested.

You could use freenx instead of vnc. Freenx transmits x-commands (with caching) instead of bitmaps.

Xming and XDMCP is a brillant option.

Edit:

Xming is a x-server for windows, which is based on Cygwin and has the ability to share the clipboard and implements different desktop layouts as well.

XDMCP is a simple and - important - unencrypted protocol (don't use it over the internet) to connect a X-displaymanager and a x-server.