I know python has a py2app, I was wondering if Ruby has anything like that. I know there is OCRA for windows, but what about for OS X?
Take a look at Platypus; it may do what you want.
From its homepage:
Platypus is a developer tool for the Mac OS X operating system. It can be used to create native, flawlessly integrated Mac OS X applications from interpreted scripts such as shell scripts or Perl and Python programs. This is done by wrapping the script in an application bundle directory structure along with an executable binary that runs the script.
Compared to Windows, ruby and python are prebuilt for Mac, so the easiest way might be using Cocoa with Ruby. You can get good info out of this book
http://pragprog.com/press_releases/programming-cocoa-with-ruby
MacRuby seems like the most likely candidate without knowing more details about what you're doing. It can make standalone native binaries.
http://www.macruby.org/ for more info.
RubyCocoa includes a script (standaloneify.rb) to package all the Ruby files your project uses into the app wrapper, and MacRuby (recommended if you're targeting 10.5+) compiles to native code and thus it's no more work making a standalone app than with Objective-C.