I have worked with ruby on rails in ubuntu, mac OS X and windows. Windows only was the worse but I prefer it with a virtual machine loaded with a ubuntu server 10.04 (it helps you in deployment also, as the most servers have linux), I have samba - access to the ubuntu files through windows explorer and it is working like a charm. You also have snapshots to revert if you do something wrong (through virtual machine), so you can destroy and recover it very easily and keep backup without any problem. Also you can transfer it everywhere with just copy paste.
Mac OS X is also a good choice, but it isn't as good as ubuntu for me, I am used to windows graphical environment and the commands in the command line sometimes is a little different (mac OSX is unix, it isn't linux and it doesn't use X windows), so it is a little tricky to feel comfortable, you have to learn a lot more to get the productivity you already have with windows. Also textmate needs time to get used to it, so better invest in a better solution like vim or emacs.