Partial success!
For a good chunk of yesterday, I was trying to ""port"" my exceedlingly simple Ruby application to Windows. The hitch? It uses Gosu (game engine), Chipmunk (physics engine), ImageMagick (popular graphics tool), and RMagick (wrapper for ImageMagick in Ruby). With the help of RubyScript2Exe it almost, almost worked. Gosu and Chipmunk had no problem, as they had no-strings-attached .so files and apparently were programmed well. ImageMagick, despite trying to be a pain in the ass by making me include an extra dozen DLLs in my project folder, actually did end up working. But RMagick...when moving the generated app to a new computer that didn't have ImageMagick installed freaked out with a weird "address not accessible" error or something. After some fiddling I gave it up as a lost cause and dropped support for ImageMagick+RMagick. The only reason they were there in the first place is because I wanted to load SVG files whenever possible, and possibly have some dynamic graphic generation, but...the former isn't that great anyway, and the latter will have to be done other ways, if at all.
So, yes, Ruby+Gosu+Chipmunk play just fine with RubyScript2Exe on both Windows and Linux.