Ubuntu：
sudo apt-get install libmysqlclient-dev #(mysql development headers)
sudo gem install mysql2 -- --with-mysql-dir=/etc/mysql/
それでおしまい！
結果：
Building native extensions. This could take a while...
Successfully installed mysql2-0.2.6
1 gem installed
Installing ri documentation for mysql2-0.2.6...
Enclosing class/module 'mMysql2' for class Result not known
Enclosing class/module 'mMysql2' for class Client not known
Installing RDoc documentation for mysql2-0.2.6...
Enclosing class/module 'mMysql2' for class Result not known
Enclosing class/module 'mMysql2' for class Client not known