tumblrGists.js

var gistPrefix = 'https://gist.github.com/',
    // Cache document.write so that it can be restored once all Gists have been
    // embedded.
    cachedWrite = document.write,
    body = $('body'),
    // Map each p.gist to an object that contains the paragraph to be replaced
    // and the Gist's identifier.
    gists = $('a.gist').map(function(n, a) {
        a = $(a);
        var href = a.attr('href');

        // Only return the mapping if a valid a exists in the a.
        if (href.indexOf(gistPrefix) == 0) {
            return {
                a: a,
                id: href.substring(gistPrefix.length)
            };
        }
        else {
            return undefined;
        }
    }).get(),
    embedNextGist = function() {
        // If there are no more Gists to embed, restore document.write.
        if (gists.length == 0) {
            document.write = cachedWrite;
        }
        else {
            var gist = gists.shift();

            // The Gist javascript file consists of a call to document.write to
            // write the stylesheet link element and a second call to
            // document.write to write the div containing the marked up Gist.

            // So, override document.write to catch the first call. And inside
            // that override, override document.write again to catch the second
            // call.

            document.write = function(styleLink) {
                // On my Tumblr page, I include GitHub's Gist stylesheet in my
                // overall page template so nothing happens here. If you don't
                // want to do that, you could do something here like
                $('head').append(styleLink);

                document.write = function(gistDiv) {
                    // Replace the original paragraph with the formatted div
                    // written by the Gist javascript file.
                    gist.a.replaceWith(gistDiv);

                    embedNextGist();
                };
            };

            body.append('<scr' + 'ipt src="' + gistPrefix + gist.id +
                '.js"></scr' + 'ipt>');
        }
    };

// One call to embedNextGist to get the ball rolling.
embedNextGist();

Brialliant idea! I totally copied it!

Seriously now, I think I came up with a more readable version. Give it a look if you're interested!