I've seen some approaches, most notably here on igvita. Though the reference on igvita is quite dated (2006 ??? being more or less the beginning of the epoch in rails-years), I've seen plenty of code using the validate-a-uri-by-regex approach.
It doesn't work and always ends up excluding valid urls. This is why I
prefer to use the parsing approach. If the url can be parsed, and the
scheme seems reasonably valid, good enough.
An Interesting URL Problem
Recently I ran into a situation where I needed to be able to validate and handle unicode / internationalized links. One such link would be the russian tld registrar кц.рф. The typical approach of parsing with URI fails below
At this point, I happened to remember there is another library for parsing URIs. It's called Addressable::URI. Its aim is to be a full replacement of the ruby standard library's URI module.
More importantly, it successfully parses unicode urls.
Here's how I do URL validation in rails 3, using ActiveModel and Addressable::URI.