$ echo $SHELL
/bin/bash
[download]

Also,

cpan> o conf shell
    shell              /bin/bash
[download]

Update: All in all I think it all boils down to

$ perl -MRRDs -e1
[download]

on the Gentoo machine, and

$ perl -MRRDs -e1  
Can't locate RRDs.pm in @INC (@INC contains: /etc/perl /usr/local/lib/
+perl/5.8.4 /usr/local/share/perl/5.8.4 /usr/lib/perl5 /usr/share/perl
+5 /usr/lib/perl/5.8 /usr/share/perl/5.8 /usr/local/lib/site_perl .).
BEGIN failed--compilation aborted.
[download]

on the debian one. So this may not be strictly a Perl question, but a Debian package installation one. Any idea would be welcome. Madly searching for info over Google in the meantime...