UMFPACK is significantly faster than the default solver, but is a huge pain to package on Windows.
Packaging for 2.7 requires an ancient Microsoft compiler, and is out of scope for this ticket.
Current progress: Using Suitesparse-METIS for Windows, I can compile SuiteSparse, but don't understand how to "install" it so that the paths are correct for scikit-umfpack/numpy to find.
Also still not sure if the eventual Windows will include the SuiteSparse DLLs...
See also (in no particular order):
Could also think about building wheels for Linux and OS X automatically, but one thing at a time. See travis config, just need to build wheels.