I've played with it a fair bit. It's definitely faster, both because of the new YARV VM in 1.9.1, and the use of a C compiler created sometime this century.
Pure Ruby gems are pretty reliable, obviously. Getting mswin32 binaries to work is a hit/miss situation (mostly miss IMHO), and native mingw32 binaries are still the exception, not the rule.
I wanted FXRuby on Windows, and went through the following to get it: Getting FXRuby Going with Ruby 1.9.1 and the new RubyInstaller
So it depends what gems you care about and how handy you are with build scripts and such. Despite the heroic efforts of Louis Lavena and the Ruby Installer contributors, Ruby on Windows remains a second-class citizen.
As you've already noticed, the RubyInstaller guys maintain a list of gems known to work, or not, but this is pretty fluid. The mailing list is usually pretty responsive to questions as well.