CentOS is a great Linux distro with possibly the worst selection of up-to-date packages. I love the ease of use of CentOS and the close ties to RedHat, but using it often means that I need to compile the libraries I need from source.
$ sudo yum groupinstall 'Development Tools'
$ sudo yum install readline-devel
$ cd /usr/local/src
$ wget ftp://ftp.ruby-lang.org//pub/ruby/1.9/ruby-1.9.2-p180.tar.gz
$ tar xzvfruby-1.9.2-p180.tar.gz
$ cd
ruby-1.9.2-p180
$ ./configure && make
$ sudo make install
Everything you need is in the development tools, except for readline-devel.