Personnaly I was so sick and tired to get everyday a new problem when I wanted to install a gem that I setup a VM with Ubuntu and I launch it when I want to dev. Ubuntu is "user friendly"-ier than Windos for ONE thing setup a dev environment.
And as nobody dev on Rails under Windows it's very hard to find help or good tutorials when you encounter a bug :(
Well, apt-get is pretty sweet in general.
More to the point, while Windows Ruby dev is certainly doable (and I did it for years with comparatively no more hassle than on Ubuntu), the advantage of developing on Ubuntu is that it is far more likely to match your server environment.
It sucks big time to be cruising along and then discover that some plug-in or tool that would solve a dozen problems for you requires a C compiler and a POSIX environment.
gem install sqlite3-ruby autotest rspec
The only problem is with spork: gem install spork gave me an error. I plugged it into Google which gave me the resolution: delete rake.gemspec and gem install rake (the one click ruby installer on windows seems to come with a bad rake), then gem install spork. All of this, including installing Ruby took like 5 minutes.