Mark Friedgan, one of the chirb folks (that’s Chicago Area Ruby Users Group) pointed me to the Ruby.NET project.

Our goal is to create a compiler for the Ruby language that targets the .NET CLR. We aim to support 100% of Ruby language semantics, including all dynamic constructs such as closures and continuations. We plan to generate 100% managed and verifiable CIL code. We will support the core language, including the built-in Ruby classes such as Class, Object, Array, String and the built-in Ruby modules such as Math and Kernel. We do not; however plan to implement the other Ruby libraries that commonly ship with the Ruby distribution, such as CGI and DBM (except for those implemented 100% in Ruby). We will leave it to others in the community to implement these libraries; or alternatively equivalent .NET libraries could be used in their place.

And also:

This project is receiving technical and financial support from Microsoft, and has the general aim of improving support for dynamic languages on the CLR.