With TortoiseHG, ssh does work well out of the box on Windows. I only know the webserver routes, but I don't see the problem with that. We use nginx on a Windows server and host our repositories there, it's not too hard to set up. With no knowledge of the process, it might take an hour or two to set up.
I'm not familiar with setting up a git server, but i doubt it is any easier than mercurial.
With TortoiseHG, ssh does work well out of the box on Windows.
FWIW, we've had problems with (correct) passwords not being accepted via TortoisePlink when trying that, but we already had other Tortoise* software for different VCSes installed, so I can't rule out some sort of unfortunate conflict.
If SSH really does work for most people once TortoiseHg is installed and we've just been unlucky, then I partially withdraw my criticism, given that in practice I expect a lot of Windows users of Hg do install TortoiseHg as well anyway.
I only have TortoiseHG installed, but I use a standalone pageant (not the tortoise one) and TortoiseHG doesn't seem to have any problems using the keys stored in there.
Even if you just use the command line client, I think it's worth installing tortoise for the ssh support.
I'm not familiar with setting up a git server, but i doubt it is any easier than mercurial.