The XeLaTeX Japanese examples I find on TeX.sx seem to have this issue in common on my system. I'm running MacTeX 2011, fully updated at the time of writing. The following sample
%!TEX TS-program = xelatex
\documentclass{standalone}
\usepackage{xeCJK}
\usepackage{ruby}
\setCJKmainfont{Hiragino Mincho Pro}
\begin{document}
\ruby{学}{がく}\ruby{生}{せい}
\end{document}
gives me this output

I checked Font Book, and the font in the example is present (this happens whatever font I try). In an ideal world I'd like to use Japanese with furigana (ruby text). Is there something wrong with my code, or something not quite right with MacTeX on this system?
