It's not strange at all. /me passes Kool-Aid. I use Microsoft Visual Studio and Windows-hosted vasm and vbcc. The vbcc suite runs very well under emulation, too, but you'll need make and a good editor or some other way of managing projects and editing files.
A lot of folks prefer gcc these days, and AmiDevCpp is a quick way to get a cross-development environment up and running on Windows. That's all I'll say about that. (I do use m68k-amigaos binutils, though.)
Programming on actual hardware is quite tedious these days. (Take heart in the knowledge that Kickstart, Workbench, et al were originally cross-compiled from a Sun workstation.) You'll want to test on actual hardware, of course, unless you're only going to target emulation. WinUAE can do more than most real m68k Amiga's will ever be able to do.
Utilitybase.com is a good place to go for general Amiga programming conversation.