Most spheres are not Lie groups. You could always turn the underlying set into a group, but then there's no point in it being a sphere.
I think this has something to do with division algebras, maybe. I think if it were a Lie group, maybe you could take the group algebra and get a division algebra. Division algebras only exist in certain dimensions: 1, 2, 4, and 8. So you get spheres of dimension 1 less: 1, 3, and 7. And 7 doesn't work because the octonians, the dimension 8 division algebra, are non-associative, so you can't get a group by taking the unit octonians.
So the only spheres that are groups are S^1 and S^3.
Don't quote me on this, though, since I haven't quite thought it through. Just came up with it off the top of my head. I think it's right, though.
The end result is correct, anyway:
http://en.wikipedia.org/wiki/3-sphere