Huw Collingbourne turned me on to Sapphire in Steel, a Ruby programming environment implemented as a VS2005 plug-in: "Ruby In Steel 0.5.12 provides syntax sensitive code colouring and collapsing; a fully integrated interactive console which can be docked within the Visual Studio environment; integrated syntax error handling - click on the error message to locate the problem line in your source code; automatic bracket highlighting; bracket matching to move your cursor between brackets; a project management pane in which you can arrange groups of Ruby projects as branches in a tree; auto-commenting and uncommenting of Ruby code; plus many of the same editing features you would expect in any Visual Studio project such as multi-level undo/redo, split-window editing; toggle-bookmark and find/replace with regular expressions."
It's not an implementation of Ruby on the CLR, but maybe once John Lam gets his hands on it...