I have put a preliminary build of PDAL 1.5 on OSGeo4W64 . It includes most options including Python, but much more testing will be required, and there are sure to be some gremlins. The process to do so was manual, but I am working to update PDAL's Windows continuous integration on AppVeyor  to build the OSGeo4W64 package automatically. Finally, I am almost done updating the PDAL Workshop  to default to using the OSGeo4W64 build of PDAL.
These updates should make it easier for people to get started with PDAL, and it will allow other applications like QGIS and GRASS to build on PDAL across all of the platforms they support. Please give it a spin and report any significant bugs you find.