If you're facing such low-latency constraints that you need a spinlock, you wouldn't want the thread to sleep, instead you'd pin the core and have the dedicated core constantly spinning. That's how it's done in HFT. You can use a fancy network card like SolarFlare with efvi_drivers to bypass the kernel completely for network IO (spin waiting on the network card). Basically you need to treat the kernel like it's a paedophile trying to molest your children, and do everything you can to stop it touching your low-latency threads.

That could be a wait queue, or it could be keeping track of what lock (if any) a thread is blocked on and iterating all threads to see if anything is blocked (this is relatively easy to implement, but not great if you have many threads), or ???. If you're running SMP or a re-entrant kernel, you need to be careful about how you do your checks so you don't have race conditions; you don't want a thread blocked on an unlocked lock.