A google search with "filetype:gem" helped me to discover it.
Here a list of all gems you need for an offline installation of Ruby on Rails:

http://rubygems.org/downloads/rails-2.3.5.gem
http://rubygems.org/downloads/activesupport-2.3.5.gem
http://rubygems.org/downloads/activerecord-2.3.5.gem
http://rubygems.org/downloads/actionpack-2.3.5.gem
http://rubygems.org/downloads/actionmailer-2.3.5.gem
http://rubygems.org/downloads/activeresource-2.3.5.gem

If you use mysql better also download these:
http://rubygems.org/downloads/mysql-2.8.1.gem
http://instantrails.rubyforge.org/svn/trunk/InstantRails-win/InstantRails/mysql/bin/libmySQL.dll

Hope this helps someone else to avoid switching a memory stick back and forth for every dependency ;)