Python became popular with Linux and open source developers before Ruby did, and has had slightly more time to develop a nice set of libraries to do just about anything.
The online Python documentation tends to be pretty good. When I picked up Ruby a year and a half ago, and I tried to find the documentation, people generally pointed to the pickaxe book as the de facto documentation.
Although I've been using Ruby on windows the last few weeks with Ruby Shoes from _why(normally use for unix scripts or web-dev). It's pretty nice (although a little rough around the edges as it's under heavy developement).
When you install shoes (the latest version anyway) you get the GUI tools, ruby gems, and sqlite, and a ruby interpreter, all neatly packaged. And there is a whole load of items I havent looked at yet. It's fun.
Come to think of it, we, ruby programmers, don't really pay our dues. 1.9.1 has been out since January/February, and nobody bothered to package it for OSX, Windows, or Ubuntu.
Thanks for bringing this issue into the light.
Nowadays I work on Kubuntu, and maybe things have changed, but I've no bad experiences with Ruby on Windows.