more changes to setup.py
Maybe consider just making people use either `setuptools` or `distribute`?

I have had ongoing problems with setuptools's interactions with Cython. If you can figure out how to get setuptools to play nice with my Cython extensions, then I will do it. Otherwise I can't accept the patch
 Is it just setuptools in particular, or distribute also?   Distribute seems to work right on OSX (I don't have a windows machine to test it on).  Is this different than your experience?

It seems this is 'known fixed' in distribute:  https://bitbucket.org/tarek/distribute/issue/195/cython-build_ext-support-broken-when-using

So, big picture, and my goals here:
- I want setup.py to be as friendly as possible when failing 
- I want pip install to get as much as possible right, without too much headache (the numpy bit is a bit of a headache!)

If that's not possible, then maybe a 'suggested install style' should go out with the package... something like:

try:
    import Numpy, dateutil, .....
except:
   print "these onese failed.... here's how to install them"

With a lot of notes saying (in code) why we don't use the 'install_requires' bits.  
 Perhaps as an alternative, it might be worth cribbing from `lxml`'s setup process...

https://github.com/lxml/lxml

Clearly, this can wait :)
 That's a good idea. Wouldn't mind trying to get this done for 0.7.0
 I can confirm that things are borked under setuptools in osx, and they do work fine under distribute.  Frustrating stuff!  
 here's an open issue related to the setuptools bug

https://github.com/wesm/pandas/issues/192
 Cherry-picked and merged per #578
