There is currently no reasonable choice in Ruby for client / desktop applications in Ruby, however I believe that one of your best bet is to use mature JVM libraries through JRuby.
Redcar's text editor is written in Ruby and runs on the JVM, and you can see the source on Github here https://github.com/danlucraft/redcar
There is also an Atomic Object development company that made a neat Ruby desktop application using JRuby with a rather sophisticated GUI, and you can view what's here .
I was thinking about the same problem as you, and have been following my options over the past few months :-)
I also used JRuby on the server side, and it is solid and reliable.
Finally, if it's Windows-only, as you say, then you can consider using the .NET GUI Framework, such as WPF, and build it using IronRuby, however IronRuby is not yet as mature as JRuby, so you can put yourself at some risk there in terms of compatibility, bugs and performance (and for the record I like IronRuby!).
However, the potential problems of using IronRuby can be balanced by the benefits you get using the GUI infrastructure, which is designed and optimized for Windows, and is more enjoyable than Swing. WPF is about as rich as for graphical interfaces in Windows.
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