After reading several books and tutorials on Rails, I found it difficult to get a step by step guide to set up Rails on OS X. Most of what I read is just speeding through the steps and many of them don't work as expected for various reasons (no compiler installed, outdated version of curl, etc). So I wrote a detailed step by step on my blog here: http://blog.nicoschuele.com/?p=171
I successfully installed Rails on 5 machines so far using this proposed way. Maybe newcomers can benefit from it.
Have a great day!