I've written here previously about Erik Veenstra's RubyScript2Exe "compiler". I use it frequently to create standalone EXE files on Windows.
If you use RubyScript2Exe, you should note that the current version (0.5.3) doesn't appear to play well with the new version (1.3.2) of Rubygems released a few weeks ago. Attempting to compile a script results in the error:
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