I try to stay away from full IDE's and lean more towards text editors. IDE's just tend to be very bloated and do more than I want them to do. When I first learned to program (in java) I used several IDE's - mostly eclipse. Later when I tried writing programs without it I realized what a huge crutch it had been, I couldn't even write code without it - I couldn't compile, my code was riddled with errors because I didn't have the syntax checker, etc. In my (perhaps limited) experience I've foudn that with any language/platform just a text editor really helps me get down nitty gritty with it. I feel like my learning rate has increased 10fold and I feel much more in control. Rails is no exception.
Windows - Notepad ++ (free, open source). Just an awesome text editor. I use this at work.
Mac - I am a poor student and I never regret the 50 dollars I dropped on TextMate. I use it for all my classes - and I use it for developing in rails, of course. :) Nothing quite like it. Pretty much everyone compares other text editors to it as a standard.
Everything - vi(m). What more can you say?