Update: Nowadays, a simple visit to http://aka.ms/wslstore is enough. (This will open up the Microsoft Store with Ubuntu already highlighted. Simply press install, then launch the app, and you’re done.)
Just FYI: this MSDN guide to installing Bash on Ubuntu on Windows.
Also, if you’ve previously set up SSH under Windows and have your keys live in
C:\Users\Username\.ssh, use Florian’s guide to symlink that folder to Linux’s