rbenv is the best way to set up a Ruby environment. It's pretty essential since you can test your stack against different versions of Ruby and gems such as Rails.
... It's pretty much like virtualenv for Python.
I don't always use Ruby but when I do I use rbenv (said in the Dos Equis man voice).
Install rbenv and ruby-build via brew
Add rbenv init to your shell to enable shims and autocompletion.
Select the version of Ruby to install. First list all the available versions
For example, let's install the latest version in the 1.9.3 branch
Build and install Ruby without documentation (saves time)
Set the global Ruby version
Disable ri and rdoc documentation for Gems. Add to ~/.gemrc
Bonus points. Install Rails