I am led to believe that Rails (well, Ruby, really) on Windows is generally slow, compared to *n[iu]x, but since I haven't experienced the latter, I remain blissfully ignorant. In particular, there's a lag while the Rails environment loads that is tedious even on a fairly fast (3GHz Xeon) box.
On top of that, there's the overhead that an IDE brings. Of the more recent, I've tried NetBeans and RubyMine. Both are very capable and a little slow, compared to my normal working environment of command line and test editor, which pretty much suffice 95% of the time: I find I don't need much IDE support when I'm developing test-first. I still find myself mostly using SciTE, largely because of the "Run" command being easily accessible. With a little tweak to the "require test_helper" line in my tests, a single test execution is no more than a F5 away, and the whole suite available from the command line with a quick "rake".
If I need to debug into the framework to clear up (usually) some misunderstanding on my part, then I currently lean towards NetBeans, where the debugger seems a little more intuitive. I suspect RubyMine may have more power, but I haven't found myself needing it yet.
Irrespective of all the above though, the key to performance on Windows is the time to execute `environment.rb' and that's not an easy nut to crack. (Here's hoping I'm totally wrong and I've missed something super-cool, btw.)