I teach theory of programming languages with ocaml on Windows. The path 
of least resistance seems to be ocaml + XEmacs + tuareg + premade make 
files (although omake sounds like a good option). It takes one lecture 
(45 minutes) to explain the setup, and the first homework is "install 
everything and compile helloWorld.ml".

If you're teaching math students who think that "java is not 
mathematical" enough, then you could offer mathematical projects, 
possibly involving graphics, such as:

1) A program that plots the graph of a function. This would involve 
parsing the function, so you'd have to teach basic lexing and parsing 
techniques. Or you can provide the lexer and parser and have them extend 
it with more functions.

For extra credit: a program that plots surfaces in 3D.

2) A program for drawing graphs in the plane. The layout of a graph is 
computed with one of many algorithms, e.g. a spring embedder. You can 
reuse the graph data structure to develop other things (shortest path 
etc.) You can have a graph drawing competition. You can have them draw 
graphs with 10000 vertices.

I once "won over" several math students from the Dark Side++ by showing 
them how to define the datatype of finite graphs and implement basic 
constructions, including computing Cayley's graph and finding the 
chromatic numbers (by a brute force method). They were convinced because 
the source code was "mathematically clean" and something like 5 times 
shorter than corresponding C++ would be.

3) This is shameless self-propaganda, but several people used random art 
as a fun project, see e.g. Assignment 2 at
http://www.cs.hmc.edu/courses/2005/fall/cs131/homework/index.html
(and compare with the "real thing" at http://www.random-art.org). In 
this project you can avoid writing parsers, while still having abstract 
syntax and an interpreter, or even a compiler/optimizer.

4) If your students are very mathematical, something like the tiling 
examples from "Developing applications in Ocaml" might interest them.

Best regards,

Andrej