I heard that using some relatively basic differential geometry, you can show that the only spheres which are Lie groups are $S^0$, $S^1$, and $S^3$. My friend who told me this thought that it involved de Rham cohomology, but I don't really know anything about the cohomology of Lie groups so this doesn't help me much. Presumably there are some pretty strict conditions we can get from talking about invariant differential forms -- if you can tell me anything about this it will be a much-appreciated bonus :)
(A necessary condition for a manifold to be a Lie group is that is must be parallelizable, since any Lie group is parallelized (?) by the left-invariant vector fields generated by a basis of the Lie algebra. Which happens to mean, by some pretty fancy tricks, that the only spheres that even have a chance are the ones listed above plus $S^7$. The usual parallelization of this last one comes from viewing it as the set of unit octonions, which don't form a group since their multiplication isn't associative; of course this doesn't immediately preclude $S^7$ from admitting the structure of a Lie group. Whatever. I'd like to avoid having to appeal to this whole parallelizability business, if possible.)