Considering the following requirementes:

Must be supported on Windows.  Preferably works also on other platforms.
Must support multi threading.  By that I mean that the engine can work in parallel in multiple threads.
Readability is important.
License must be compatible with closed-source projects.

I like Python for its readablity.  I am also have more experience with Python than other scripting languages.  However CPython is not multi-threaded, and IronPython requires hosting the CLR and a compatible language (C++/CLI or C#).
Lua is the best choice. Python, Ruby and JavaScript are big languages and they are not designed for to embed. But Lua is different, designed to embed.
You should consider the "restriction" more than any other things for your script language. Embed scripts can use for hack (bad meaning) easily.
For example, by default Lua can not print to console. As I know, Blizzard uses the Lua because of that.
Which scripting language is better for embedding in multi-threaded C/C++ application