I finally got around to trying nailgun tonight. On OS X with JRuby 1.4.0RC2, I built nailgun using:
cd JRUBY_HOME/tool/nailgun
make # I ignored the warning "no debug symbols in executable (-arch x86_64)"
In one terminal window just leave a nailgun server running:
$ jruby --ng-server
NGServer started on all interfaces, port 2113.
When you want to run JRuby as a railgun client, try something like:
jruby --ng text-resource.rb
On my MacBook, this cuts about 5 seconds of JRuby startup time off of running this test program.

Sweet. For small programs, using ruby is still faster than jruby but this makes developing with JRuby faster.