Cold dark matter cosmologies successfully accounts for the distribution of matter on large scales. On smaller scales, these cosmological models predict that galaxies like our own Milky Way should be enveloped in massive dark matter halos. Furthermore, these halos should be significantly flattened or even triaxial. Recent observational evidence, drawn from the demise of the Sagittarius dwarf galaxy as it is cannibalized by our own, indicates that the potential of the Milky Way must be close to spherical. While the precise interpretation of the observational evidence is under debate, an apparently spherical halo may signify a pronounced failing of dark matter models, and may even indicate a failure in our fundamental understanding of gravity.