And I know what I'm talking about! I've been doing heavy rails development lately, on all three major platforms. Start with OS X.
It seems every serious Screencast for Rails was recorded using the famous Textmate Editor on OS X. At first sight, Textmate may seem to be a pretty ordinary Text Editor. Well, it isn't. It's very powerful and highly customisable. It's one of the products I'd buy always again, simply because it's worth it's price. Development is rather flawless, not only because of Textmate, but also because OS X is based on a Unix System, giving one the ability to run all utilities natively, avoiding perfomance issues. It's absolutely my favorite.
After my MacBook commited suicide, I was forced to use XP. I wasn't happy. There are good code editors for sure ( I used vim nevertheless ) but the overall speed of testing tasks and so on is .. poor. Very poor. Those perfomance problems are well-known, though no one knows the exact reason ( at least I wasn't able to figure it out ). I don't want to flame here, but Windows is just not suitable for serious Rails development.
After deciding that the above mentioned system was a pain in the ass rather than a solid solution, I switched to Ubuntu. And I'm amazed, really. Gedit with a few plugins seems to be a good alternative compared to TextMate, and all the packages run like a charm. And it's free and runs everywhere. It's my recommendation for every Windows+Rails developer. Install VMWare or VirtualBox and develop there, it's faster. Trust me.
Tomorrow ( assuming UPS isn't lying ) my new iMac will arrive, and I'm so looking forward to it. What is your prefered platform for developing with rails?