zeromq downloading from source is a pain, and packages in existing distros are out of date. So a gem!
This is very much a 0.0.something release.
gem install libzmq
If you're using ffi-rzmq, make sure you load the libzmq gem first. A helper require that does the patching in the right order is available:
require 'libzmq/ffi-rzmq'
You'll need to have the ffi-rzmq gem installed (and the ffi gem if you're on Ruby 1.9.2).
Or the bundler lines:
gem 'ffi'
gem 'libzmq'
gem 'ffi-rzmq'
Note the ordering.