I don't want to make people install unnecessary things (if they are non-programmers) so I want to avoid putting on website or in readme "You need to install Ruby version <version here> and following gems <gem list>".
This will automatically detect used libraries and additional code sources and pack them in exe. By adding --icon or --windows you can set application's icon or disable console window.
Oh, yeah. There's also Releasy. I tried once to use it, but still prefer Ocra. However Releasy has one important advantage that it can 'compile' multi-platform.