Windows
If you use Windows, the easiest way to get Ruby working is via the RubyInstaller.
If you only want to work on Ruby, Ruby 1.9.1 is your choice. Otherwise, if you want to experiment with Rails, you should try to install Ruby 1.8.7.
There's also a BitNami Ruby stack but it contains much more stuff than Ruby itself. You don't really need Apache or MySQL to work with Ruby on your local machine because you can use Mongrel and SQLite. In this way, you don't have to bother with additional background processes.
Avoid using Ruby 1.8.6. It's old and it's not convenient to start studying with an outdated Ruby version.
Mac OS X
Ruby comes installed by default with Leopard and Show Leopard. If you want a different Ruby version, I suggest to use RVM.
Linux
You can install Ruby by source or with your system package manager.