Getting setup with Rails 3 right now can be tricky because of bugs that manifest with various combinations of ruby and rails versions. The best thing to do right now is to get the bleeding edge version of everything. Using the following process you can do that without impacting your existing ruby / rails installation.
UPDATE: As of July 2, 2010 it looks like you don't have to grab Ruby 1.9.2-head any more. Release Candidate 1 (RC1) of 1.9.2 was released and it worked fine during my brief testing. You can get it @ http://www.ruby-lang.org/en/news/2010/07/02/ruby-1-9-2-rc1-is-released/ or install with rvm (see below)
rvm is the 'ruby version manager' for easily managing multiple versions of ruby. If you don't have it already, run:
bash < <( curl http://rvm.beginrescueend.com/releases/rvm-install-head )