This is using PyDev 2.2.1 on Windows XP.
When clicking the Auto Configure button for the Python interpreter, the last item added to the System PYTHONPATH is C:\Python27\lib\site-packages. It should be C:\Python27\Lib\site-packages- note the L in Lib is capitalised.
In trying to use SQLAlchemy, I had previously been getting lots of Import Errors in the IDE, despite everything going fine when I actually ran the script. Fixing the Lib\site-packages item and restarting Eclipse (File->Restart) fixed this for me.