John Lam's RubyCLR project piqued my interest even before I saw him at TechEd. Today was my first step to getting started, here were my steps.
1. Played a bit with a free online Ruby interpreter.
2. Got the single click installer for my own machine.
3. Read a bit of documentation.
4. Then discovered Komodo, the IDE I originally bought for Perl stuff supports Ruby and has an interpreter. Very, very cool.
Next step: language fundamentals.