After getting errors like this:
http://stackoverflow.com/questions/5030362/how-to-use-opencv-in-python

I discovered that OpenCV works best (most easily) under Windows as 32-bit
http://luugiathuy.com/2011/02/setup-opencv-for-python/

The alternative is to compile OpenCV for 64-bit
http://stackoverflow.com/questions/3919681/compiling-opencv-on-windows-7-64bit

I discovered that my Windows install of Python (2.7.3) was conflicting with my (implicit) Cygwin install

(2.6.5), so I removed the Python language package from Cygwin.

I then had to take off the 64-bit install of Python and replace it with 32-bit.

Here are the Python packages

ez_setup.py
lxml-2.3.4-py2.7-win32.egg
pyOpenSSL-0.11.winxp32-py2.7.msi
python-2.7.3.msi

I then re-did my Scrapy install

python ez_setup.py (to get easy_install)
easy_install lxml-2.3.4-py2.7-win32.egg
easy_install -U Scrapy

I then installed the OpenCV pre-requisites

numpy-1.6.1-win32-superpack-python2.7.exe
scipy-0.9.0-win32-superpack-python2.7.exe

I'd already installed the out-of-the-box OpenCV (2.4.0)

http://sourceforge.net/projects/opencvlibrary/

I then ran the Delauney sample, which worked, finally!

cd opencv/samples/python
python delaunay.py

Useful links
http://www.python.org/ftp/python/2.7.3/python-2.7.3.msi
http://lxml.de/index.html#download
http://pypi.python.org/pypi/ez_setup
http://sourceforge.net/projects/numpy/files/NumPy/1.6.1/
http://sourceforge.net/projects/scipy/files/scipy/0.9.0/