Currently, MinGW's only installs the 3.x.x series of the gcc compiler by default. However, it looks like the 4.x.x series of compilers have been out for some time, and as others have mentioned, it seems to work just fine. Is there any reason why it hasn't moved to the 4.x.x versions yet, and any reason why I shouldn't use the newer versions of gcc?
Why isn't the gcc 4.x.x series compilers installed by MinGW by default?
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The TDM GCC/MinGW32 builds installer includes gcc 4.4.x and all the core binary packages required for basic Windows development, including gdb. It's widely used without any unusual problems.
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The issue appears to be that they've changed the exception handling mechanism in a way that breaks the ABI. That means you can't (for example) drop in the new compiler and continue to use old object files and/or libraries. You have to re-compile everything from source code to get working results at all.
GCC4's C++ ABI has changed from GCC3, and it includes a lot of new features (like its tree vectorization) that a lot of people still consider "experimental." There are still a few Linux distributions still using GCC3 for that reason.