From what I've observed, it's a small issue, but code compiled under MinGW directly (as in off of the command line, as opposed to through Code::Blocks) will open up a command line before opening the application.
I haven't attempted compiling any SFML applications any other ways, however, so I may have just missed something, but the pre-compiled examples don't, in fact, open the command line, whereas the pong example compiled under MinGW did.
Again, just a small thing, and mostly figured I'd ask in case there was a way to keep it from happening.