REE from my experience has a tendency to throw mallocs in odd places (Jan 2009 tab completion in script/console - https://webrat.lighthouseapp.com/projects/10503/tickets/89-excessive-output-caused-by-and-only-by-running-webrat).
Ruby 1.9.1 has a massive bug in tempfile which blows up Rack (August 2009 present in patchlevel 243 - http://groups.google.com/group/rack-devel/browse_thread/thread/a2aab3a4720f34c4?pli=1). As well as this I do not believe Ruby 1.9.1 to have been tested properly with Rails 2.3.4 (String exclusive or - https://rails.lighthouseapp.com/projects/8994-ruby-on-rails/tickets/3144-undefined-method-for-string-ror-234).
Quite honestly, it depends on how well you react to surprises. I use an old patchlevel of 1.9.1 on a server running 2.3.3 and other than a patch in Net::HTTP to work with ActiveResource, it runs blazingly fast.
If you don't like surprises, stick to 1.8.7.
Update 10/10/2010
The answer to my question is invalid nowadays, both Ruby EE and 1.9.2 are very good implementations of Ruby!
I'm not quite sure which one I would pick, probably 1.9.2 - or hold out to say what the phusion guys are working on, since they are working on a 1.9 version of REE - but, their 1.8.7 REE is pretty solid.