I had this same issue under Windows.
I used Dependency Walker to open up the cx_Oracle.pyd file in C:\Python\Libs\site-libraries\ and reviewed the findings that dependency walker gave.
Dependency Walker showed me that in this case I had the x86 version of Python 2.7.2 installed and x64 version of the Oracle client & client DLL (oci.dll) and was trying to use the x64 version of the cx_Oracle module. With that knowledge I installed Python 2.7.2 x86_64 for Windows and everything was right as rain.
The alternative was to install the x86 version of the Oracle client & cx_Oracle which is much more of a PITA than installing a new Python interpreter.
Also, as this was news to me, you must have the Oracle client installed as well as it provides the 'OCI.dll' client library that cx_Oracle uses. It's located here: Oracle Client Installer Windows x64. Probably helps if one reads the documentation. ;)
Either way, Dependency walker could give you a big clue as to what your issue is if you're having import errors. Unfortunately on-import error messages can be quite ambiguous. I received the same error you referenced and number of other less than specific errors as well.