ImportError: cannot import name __check_build
I've been able to install scikit-learn on a fresh virtualenv here but it seems you need to do some extra job to get it up-and-running:
By doing just pip install scikit-learn and then from sklearn import svm you'll get import errors, it seems the library requires numpy and scipy. So you need to do:

pip install numpy scipy

After that it should work fine.
from sklearn import svm
ImportError: cannot import name __check_build