There is the RubyInstaller project, which is really nice installer, with ruby 1.9 and 2.0. To install native extensions, it has a separate DevKit package. Which is a self-extracting archive, that spills its guts into the Downloads\ directory without event attempting to link it into the provided shell environment.
Then there is the RailsInstaller. The RubyInstaller packs ruby 1.9, git, rails 3.2, bundler, a few libs and the DevKit into a really nice installer. Native extensions install out of the box, except for libv8, which is required by therubyracer, which is required by less-rails, which is required by twitter-bootstrap-rails, which is my preferred bootstrap gem, which has a build dependency on Python 2. Libv8, that is. Libv8 has a build dependency on python2. Isn’t it ironic?
That’s enough yak shaving for now.