It's all about the libraries my friends. If you get something like this:
Installing mysql2 (0.2.11) with native extensions /usr/local/lib/ruby/site_ruby/1.9.1/rubygems/installer.rb:551:in `rescue in block in build_extensions': ERROR: Failed to build gem native extension. (Gem::Installer::ExtensionBuildError) /usr/local/bin/ruby extconf.rb checking for rb_thread_blocking_region()... yes checking for mysql_query() in -lmysqlclient... no checking for main() in -lm... yes checking for mysql_query() in -lmysqlclient... no checking for main() in -lz... yes checking for mysql_query() in -lmysqlclient... no checking for main() in -lsocket... no checking for mysql_query() in -lmysqlclient... no checking for main() in -lnsl... yes checking for mysql_query() in -lmysqlclient... no checking for main() in -lmygcc... no checking for mysql_query() in -lmysqlclient... no *** extconf.rb failed *** Could not create Makefile due to some reason, probably lack of necessary libraries and/or headers. Check the mkmf.log file for more details. You may need configuration options.
Then you just need to do this:
1) sudo apt-get install libmysqlclient-dev
2) sudo gem install mysql2