The Wither does not spawn when the Soul Sand block at the bottom is placed last. It doesn't matter if you do it by hand, or use a piston. If you remove and replace one of the heads it will spawn.
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is duplicated by 29
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Are you in peaceful mode? Non of hostile mobs will Spawn in peaceful. Be carfully when try to report na issue!
Just FYI a slight change to this in the upcoming update.
Update: 1.8
Dispensers
Can now place pumpkins or Wither Skeleton Skulls to spawn golems and withers respectively
The rule for all buildable mobs is : Build from bottom to top, this applies too for the Snow Golem and the Iron Golem, see http://www.minecraftwiki.net/wiki/Wither