I'm very happy with Ruby in Steel (http://www.sapphiresteel.com/). The Intellisense code completion and the proper debugger really set this one apart. The basic version is free but you will need a copy of Visual Studio. (And if you're on a Mac, like me, you need to use a VM as well)
I also use Ruby in Steel and I am extremely happy. Ruby in Steel is excellent for development on a Windows platform. I agree with Fjan, the debugger is brilliant. It is very easy to add a breakpoint and inspect variable values. The developers of Ruby in Steel are also very helpful, knowledgeable and accessible. Ruby in Steel really makes me a more productive Rails developer.
Willem