You don't necessarily need to install an IDE to write your Ruby scripts, you could actually run everything from the IRB (Interactive Ruby Shell) or just write them in notepad but after a while that'd get pretty tedious. So let's look at some options. I've used three extensively in my time Scite, Netbeans and Rubymine.

NetBeans
Not sure why I chucked this into the mix because it no longer supports Ruby. It was pretty good back in the day though, memories!

Scite
This is a very basic but free IDE. There's no intelli-sense or debugging options but it does the job. 

Download it here:
http://www.scintilla.org/SciTEDownload.html

Rubymine
This my all-time favourite IDE, it does everything you'll ever need to do with Ruby and it's a joy to use. However it's not free but you can download it on a 30 day trial after which it's something like £50 for a personal license and £150 for a business license.

Download it here:
http://www.jetbrains.com/ruby/