Ben Kittrell has written a guide to creating a Mac-esque Rails / Ruby development environment on Windows. As he says:

I like Windows and I love Vista. Mac's certainly are beautiful; but as of yet "It just works" is not convincing enough for me. However, any Railer will tell you that the holy grail of Rails editors is TextMate, which of course is Mac only.

Ben covers the main bases: installing a Textmate-esque editor, installing Cygwin, putting on a better console application, and getting everything to work seamlessly on Windows.