I found this screencast by Tom Dale very comprehensive and extremely easy to follow http://www.youtube.com/watch?v=Ga99hMi7wfY
Here are the instructions for building Ember Data (from a random YouTube comment):
git clone git://github.com/emberjs/data.git
cd data
bundle install
rake
You need to have bundler installed for your version of ruby.
Then go to dist/ember-data.js and use that where it says "ember-data-master.js" in the video. Worked for me.
Took me only 3 hours to figure it out being a total ruby noob. So easy.