The best least failure-prone way I've found is by using RubyInstaller builds. Go to http://rubyinstaller.org/downloads/ to get the latest Ruby+Devkit (be careful to choose well your architecture).

							gem install jekyll bundler

If you have to create a new Jekyll app:

							jekyll new appdir cd appdir

Finally:

							bundle install bundle exec jekyll serve

2020-04-24: Removed update of Gemfile to add wdm, jekyll new adds that already.