Why is ruby so much slower on windows?

I would guess there are a few possible options, and they probably all add up:

1. Ruby being mainly developed on Linux, it ends up mechanically optimised for it. The code is regularly tested for Windows and everything works, but the result is still that developer will spend more time optimising for Linux than Windows.
2. To my experience, recent versions of gcc (4.3 and greater) produce code more efficient than recent versions of Visual Studio (at least 2005). My tests included in both case spending about a day finding the best options for code optimisation.
3. Related to point 1, if you compile the same project using gcc for Windows or Linux, I usually observe a drop of performances of about 20% on Windows compared to Linux. Here again, I suppose this is because Linux (or Unices in general) is a primary target for gcc, windows is a port. Less time is spent optimising for Windows than Linux.

In the end, if one would want to optimise Ruby for Windows, a significant amount of time (and money, as far as I know, profilers on Windows don't come for free) will have to be spent using a profiler and optimising bottlenecks. And everything will have to be tested on Linux to make sure there is no loss of performance.

Of course, all than should be tested again with their new interpreterYARV.

I've not done much work with the source code of the YARV interpreter, so the following comments pertain only to the 1.8.6 MIR interpreter.

In the course of trying to write a C extension for Ruby in Visual Studio, I discovered to my horror that the downloadable Windows binaries of Ruby 1.8.6 are compiled using Visual C++ 6.0, which was released shortly after the end of the Second World War. Since then compilers (and the processors they target) have advanced considerably. While the Linux builds get the latest gcc goodness, the Windows build limps along with last century's compiler technology. That's one reason. (Disclaimer: supposedly 1.9 is to be built with mingw, of which I am not a fan, but which also must be better than VC6)

Without knowing what ops in particular you find slower on Windows it's hard to comment further, but I will note that I found the I/O implementation on Ruby to be considerably less performant with both network and local file I/O. I never delved into the implementation of the I/O primitives enough to see why, but I assume the implementations assume the fast IO constructs on Linux are the fast IO constructs on Windows, which is almost always not the case.

Not completely to your question, but there was a great discussion on the Deep Fried Bytes podcast that discussed the same question in the IronPython context. I understand your question pertains to Ruby, but there may be related issues that also affect Ruby.

Also, the discussion does a good job of looking a bit deeper than "Windows sucks", so it's worthwhile to check it out.