If you could put the error message here, it will much easier to get help.
Right now, I have to guess, did you installed RubyGems already?
After that you may also need doing
sudo gem update --system
Basically you need install zlib first, and using rvm to remove and re-install Ruby. I remembered I did using rvm to install Ruby on Rails last time on Ubuntu 10.04 as well.
In a ideal world, apt should be the one stop shop for every package and will automatically
resolve dependency for you. But it probably will never working that way, unless your package management could compile for you as well when necessary. Gentoo handle Ruby installation slightly better without need rvm to manage Ruby and then Gems manage gems. But using Gentoo to install Gems is not easier either.
I always thinking Ubuntu or other Linux package manager systems like Portage is much ore better than what Windows have, but in the case of install Ruby Gems Linux doesn't seems any significant simpler or better.