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• Set up Windows dev environment with MSYS2
• Build LLVM 3.8 with MSYS2
• Building Python 3.4+ extension modules with MinGW
• Theano, CUDA, CuDNN on Win10

Problems

• Patching llvm config.cpp to fix a bug
• Problems building with LLVM_BUILD_LLVM_DYLIB

Old

• Build LLVM 3.7 with MinGW-w64, MSYS2, CMake
• [Build LLVM [3.2, 3.6] with MinGW32 and MSYS](/valtron/llvm-stuff/wiki/Build-LLVM-%5B3.2,-3.6%5D- with-MinGW32-and-MSYS)
• Build LLVM with VS
• Install llvmpy with MinGW32

Pre-built Packages

LLVM builds (and lots of other things) for MinGW can be downloaded here:

http://sourceforge.net/projects/msys2/files/REPOS/MINGW

The mingw-w64 LLVM worked for me on regular mingw32.

Useful Resources

Mapping High Level Constructs to LLVM IR (site down as of 2016-04-14; use Wayback Machine version)

LLVM Demo - use this easily see what IR gets generated for the given C/++ code, and how to generate that IR using the C++ API. There used to be an official version of this, but it's since been disabled.