Getting rvm rubies to compile with the rvm packages isn't turning out that easy.
First off - you need to get XCode for Lion installed from the App Store (even if you upgraded from Snow Leopard - Lion needs a newer version). In addition - the App Store downloads an XCode installer - you also have to run it to get it installed ;)
So I grabbed the latest rvm:
bash < <(curl -s https://rvm.beginrescueend.com/install/rvm)
This puts up the following message: