I use TextMate on OS X for everything. It has no completion, but I wrote a bundle that will complete .draw to .draw(x, y, ..., and the same for all other method calls in Gosu. Let me know if you need it, I haven't yet gotten around to pushing it to GitHub.
Thanks, you should sticky a link to it here once it's worth publishing. I noticed this site mentions something too, but I couldn't find the thing he's talking about... http://lazygosu.org/
Seems like Ruby is a bit flexible for most IDE's to bother with code completion. I did lots of poking around and eventually settled on Aptana. While the hotkeys are taking some getting used to, it's still pretty impressive so far. I think I can remap hotkeys somehow too.
I was waiting for TextMate 2.0 to be released, but I think I can give up on that for now, and release the bundle when I have a hobby hacking weekend. Anyway, lazygosu seems to be about gosu the *language*, not the library. The language is unrelated and you will probably find lots of IDE hits for it, because it is based on the JVM...