So you want to be a Rails developer? Or at least mess around with it? Here's how I'd setup a new machine.
I use OS X, and as such can offer the best support for that environment. I have some limited experience developing on Linux, but since it's a similar to OS X I can offer some good help there.
I have no development experience in Windows, but I do know that it's not as well supported as Unix environments are. I may be able to offer some help here and there, but you're going to mainly be on your own if many issues arise.
OS X