I've posted a how to to install Ruby 1.9.1 + Mysql and Rails on Ubuntu 9.0.4
The steps are also adaptable for other plataforms.
Check it here: http://felipero.posterous.com/ruby-191-mysql-and-rails-on-ubuntu-904
Also, I've changed my main ruby to 1.9.1 and plan post lot about the challenges I find on my way.
hope you like it.