5 Jan 2021: link update thanks to @Sadap's comment.
Kind of a corollary answer: the people on this site have taken the time to make tables of macros defined for every OS/compiler pair.
For example, you can see that _WIN32
is NOT defined on Windows with Cygwin (POSIX), while it IS defined for compilation on Windows, Cygwin (non-POSIX), and MinGW with every available compiler (Clang, GNU, Intel, etc.).
Anyway, I found the tables quite informative and thought I'd share here.