The best 2 ways to go are OS X and Linux, I use Ubuntu just because it's the nicest package that I've found (there will no doubt be a variety of opinons on this.)
For Rails, I like to not use the packages or pre-installed versions, and instead build my own so I can test against various versions of ruby if need be. Hivelogic has a nice post about how to do it for OS X 10.6.
From there, you can just run:
rails myproject
cd myproject
./script/generate scaffold post title:string body:text
rake db:migrate
rm public/index.html
./script/server --debugging
And then connect to http://localhost:3000/posts to get to your application.
Once you get more comfortable, check out running Passenger instead, so you can have multiple applications running at the same time. On OSX there's even a nice Prefpane to easily set up new sites. This also ins't too hard in Ubuntu with the examples provided in the passenger docs.
For editing the application I think the IDEs (Aptana, Netbeans, etc.) are still too heavyweight, especially for small starter projects. I like Textmate (like everyone else) for OSX and gedit with gedit-mate.
Once you're writing applications, you'll find that railsapi has the best interface for browsing all of the various methods not only in Rails, but ruby, authlogic, and a bunch of other common gems.
Lastly, you'll want to look into source control, with git being preferred in the Rails community at the moment.
Good luck!