Ever since I started playing with Ruby, I've been dreading the first time I release a Ruby application and have to tell potential users something like, "By the way, to use my little image resizing program, you need to install a complete programming platform." Sure, I've released programs that require the .NET Framework or a JRE, but at least those are pretty mainstream languages. I can at least pretend to believe that, someday, every Windows client will have a recent CLR and JVM.
Turns out there is a nifty free tool called exerb that compiles a Ruby script into an executable that contains not only the script, but also all dependencies from both the core Ruby interpreter and any Ruby modules you load (whether part of the Ruby standard library or not). The end result is a totally self-contained (albeit slightly bloated) .EXE that will Just Work on any reasonably configured Windows machine, without the end user ever having to know about Ruby.
About that bloat... a trivially simple .rb script under 1.8.0 compiled to an .EXE weighing in at almost 0.5 MB. But that's a small price to pay for the convenience of a single program file with no dependencies.