Installing scipy.spatial with ArcPy gives DLL load failed error on import?

The version of scipy that Christolph Gohlke has (very kindly) compiled is compiled against the version of numpy he's compiled with the against the Intel Math Kernel Library. This is different to the version of numpy that's released with ArcGIS, and as such won't work with the ArcGIS installed version.

Instead if you download scipy from the official SourceForge repository it should work.