Dan Benjamin's Hivelogic article Installing Ruby, RubyGems, and Rails on Snow Leopard is the recommended place to go although the article is for 1.8, so here's a Ruby 1.9-specific install on Snow Leopard. Watch out for the 64-bit thing... either go all 64-bit 'fat' (as is - for example - Apache on OS X, which can cause problems with 32-bit libraries) or check any gems you're likely to use to make sure they're okay for 64-bit.
It's a great way to manage multiple Rubies and gems sets without colliding with the system version.
I'll add that now (4/2/2013), I use rbenv a lot, because my needs are simple. RVM is great, but it's got a lot of capability I never need, so I have it on some machines and rbenv on my desktop and laptop. It's worth checking out both and seeing which works best for your needs.
( you will need to trust the RVM Dev Team that the command is not malicious - if you're a paranoid penguin like me, you can always go read the source: https://github.com/wayneeseguin/rvm ) When it's complete you need to restart the terminal to get the rvm command working.
rvm list known
( shows you the latest available versions of Ruby )
rvm install ruby-2.3.1
For a specific version, followed by
rvm use ruby-2.3.1
or if you just want the latest (current) version:
rvm install current && rvm use current
( installs the current stable release - at time of writing ruby-2.3.1 - please update this wiki when new versions released )
Edit: As of Mavericks you can choose to install only the Xcode command line tools instead of the whole Xcode package, which comes with gcc and lots of other things you might need for building packages. It can be installed by running xcode-select --install and following the on-screen prompt.
I'll disagree with The Tin Man here. I regard rbenv as preferable to RVM. rbenv doesn't interfere drastically with your shell the way RVM does, and it lets you add separate Ruby installations in ordinary folders that you can examine directly. It allows you to compile Ruby yourself. Good outline of the differences here: https://github.com/sstephenson/rbenv/wiki/Why-rbenv%3F
I provide instructions for compiling Ruby 1.9 for rbenv here. Further, more detailed information here. I have used this technique with easy success on Snow Leopard, Lion, and Mountain Lion.
There are several other version managers to consider, see for a few examples and one that's not listed there that I'll be giving a try soon is ch-ruby. I tried rbenv but had too many problems with it. RVM is my mainstay, though it sometimes has the odd problem (hence my wish to try ch-ruby when I get a chance). I wouldn't touch the system Ruby, as other things may rely on it.
I should add I've also compiled my own Ruby several times, and using the Hivelogic article (as Dave Everitt has suggested) is a good idea if you take that route.
(assuming that you have tapped homebrew/versions, which can be done by running brew tap homebrew/versions)
brew install ruby193
Worked out of the box for me on OS X 10.8.4. Or if you want 2.0, you just brew install ruby
More generally, brew search ruby shows you the different repos available, and if you want to get really specific you can use brew versions ruby and checkout a specific version instead.
I know it's an older post, but i wanna add some extra informations about that.
Firstly, i think that rvm does great BUT it wasn't updating ruby from my system (MAC OS Yosemite).
What rvmwas doing : installing to another location and setting up the path there to my environment variable ... And i was kinda bored, because i had two ruby now on my system.
So to fix that, i uninstalled the rvm, then used the Homebrew package manager available here and installed ruby throw terminal command by doing brew install ruby.
And then, everything was working perfectly !
The ruby from my system was updated !
Hope it will help for the next adventurers !