There is now a much easier way to setup Git password caching by double clicking a small exe on Windows. The program is still based on git-credential-winstore
mentioned by the top voted answer, although the project has been moved from GitHub to http://gitcredentialstore.codeplex.com/
You can download the exe (and a binary for Mac) from this blog post: https://github.com/blog/1104-credential-caching-for-wrist-friendly-git-usage