Re: Just sudo?
Lots of people have implemented bash for Windows. It's not hard to use one of those. Of course, bash doesn't include sudo, it runs the sudo you already have, so you'd need someone to make sudo for Windows. Fortunately, Microsoft appear to have done that, so if they implemented it as a program and not a shell command, bash for Windows can use sudo too.
As for PowerShell, I don't like it very much, but I can't pretend that bash is somehow perfect. Its peculiarities are mostly just things that I've had more experience getting around. PowerShell, while ugly, has more support for handling complex data types and objects that can be treated as objects instead of serializing and deserializing them in turns so you can pass them around. Sometimes, this can be helpful.