I have posted the Visual Studio solution for the basic Ruby Worker Role that I described in my previous post. It is up on code.msdn.com:
Basic Windows Azure Worker Role on code.msdn.com
The solution containg everything, including the binaries for the Ruby interpreter, curl, etc., so it is ready to go! All you need to do is change the Windows Azure Storage connection string in the Ruby file (test.rb) and it will be ready to go.
And if you want to see a real production Ruby application running on Windows Azure, don't miss Steve Marx's talk at MIX11 in two weeks: Node.js, Ruby, and Python in Windows Azure: A Look at What’s Possible.
Edit: fixed the code.msdn.com URL