Well, "having OpenGL support" doesn't really mean anything... There is a reference software rasterizer that will run (slowly) on practically anything with graphics capabilities, but it also won't necessarily support the "glXChooseVisual" function, as this is specific to the X windowing system. I assume glgears would have to use something like "glXChooseVisual" to make a window in which to render itself (which I think is what it does; see here:
http://www.talisman.org/opengl-1.1/Reference/glXChooseVisual.html), so I can't explain why it would work and not Gosu.
I looked up "ubuntu glXChooseVisual" and found out Blender (a 3D modeling program) will give this error sometimes, too. Some people (using Nvidia cards) found that a driver upgrade did the trick. This thread (
http://ubuntuforums.org/archive/index.php/t-999642.html) though old, has some things you can try.
Again, I'm not a Linux user (though I have used it, but not Ubuntu) so I can only search the web for stuff. Since you have the PC in front of you, this should be easier for you ;)
Sorry I couldn't help more...
EDIT: You might try making sure the dependencies (especially "libgl1-mesa-dev") listed on this wiki page:
http://code.google.com/p/gosu/wiki/GettingStartedOnLinux are installed.