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?
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.