For those who may be confused by the accepted answer, as I was, you also need to have the ruby headers installed [ruby-devel].
The article that saved my hide is here.
And this is the revised solution (note that I'm on Fedora 13):
yum -y install gcc mysql-devel ruby-devel rubygems
gem install -y mysql -- --with-mysql-config=/usr/bin/mysql_config
For Debian, and other distributions using Debian style packaging the ruby development headers are installed by:
sudo apt-get install ruby-dev
For Ubuntu the ruby development headers are installed by:
sudo apt-get install ruby-all-dev
If you are using a earlier version of ruby (such as 2.2), then you will need to run:
sudo apt-get install ruby2.2-dev
(where 2.2 is your desired Ruby version)
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