I'd say that installing ruby is probably way easier on windows than linux. Hell, even ImageMagick worked seamlessly on Windows for me - not exactly the same story on linux :-\
you know i'm a complete noob with linux and i actually found it much easier to get everything up and running in linux than xp.
package management is pretty great for that stuff, and the support is vastly superior.
this is coming from a diehard windows user. i was midway through installing ruby/rails/mysql when i found out that instant rails 2.0 just came out. i submitted the link here, played with it for about 2 mins and went right back to linux haha.