Weird: after compiling and installing chicken with:

make PLATFORM=cygwin PREFIX=/sw/versions/cygwin/chicken/4.1.0
make PLATFORM=cygwin PREFIX=/sw/versions/cygwin/chicken/4.1.0 install

I had to copy /sw/versions/cygwin/chicken/4.1.0/lib/*.a to /sw/versions/cygwin/checkin/4.1.0/bin before it could link things properly. (I first noticed this while doing a $ chicken-install ncurses.)

Thanks to the wonders of Google and Ruben I finally found the answer: remove (you'll want to make a backup copy before you remove it, though) /etc/setup/bash.lst.gz which apparently had become corrupted.

According to a comment on that post, running gunzip -t on all files in /etc/setup will tell you which setup files have been corrupted.