Package Ruby to a standalone Mac OS X application?

Take a look at Platypus; it may do what you want.

From its homepage:

Platypus is a developer tool for the Mac OS X operating system. It can be used to create native, flawlessly integrated Mac OS X applications from interpreted scripts such as shell scripts or Perl and Python programs. This is done by wrapping the script in an application bundle directory structure along with an executable binary that runs the script.

Edit per @XtraSimplicity in a comment: Platypus can't handle any input or output from stdin or stdout. That will rule it out in some cases.