Problem
Installing Ruby on Rails on CentOS 4.6.
The yum install ruby installs an old version of Ruby 1.8.1, but you want 1.8.6
Solution
Based on a script from uberdose

The original post is here:
http://wp.uberdose.com/2007/07/15/ruby-on-rails-on-centos-45/

  wget ftp://ftp.gnu.org/gnu/readline/readline-5.1.tar.gz
  tar xvfz readline-5.1.tar.gz
  cd readline-5.1
  ./configure --prefix=/usr/local
  make
  sudo make install

  cd ..
  wget ftp://ftp.ruby-lang.org/pub/ruby/1.8/ruby-1.8.6.tar.gz
  tar xvfz ruby-1.8.6.tar.gz
  cd ruby-1.8.6
  ./configure --prefix=/usr/local --enable-pthread --with-readline-dir=/usr/local --enable-shared
  make
  sudo make install

  cd ..
  wget http://rubyforge.org/frs/download.php/20980/rubygems-0.9.4.tgz
  tar xvfz rubygems-0.9.4
  cd rubygems-0.9.4
  sudo /usr/local/bin/ruby setup.rb
  cd ..
  sudo gem install rails --include-dependencies
  sudo gem install termios --include-dependencies
  sudo gem install mongrel --include-dependencies
  sudo gem install mongrel-cluster --include-dependencies
  sudo gem install capistrano --include-dependencies
  sudo gem install mysql -- --with-mysql-dir=/usr/