I'm finding that developing Ruby FastCGI applications is a very smooth and rapid process. Maybe its this way for all ruby development, but this is the majority of what I've had experience with.
So here's what I up to. I write a script on a back-end machine and access it directly. Since I'm not too familiar with Ruby exceptions yet, I'm also using the command line to test the script out, like this:
echo "get=var" | ./myrubyapp.fcgi
I like that I can do this!