So one thing I've noticed and have been logging for a while is the fact that there is huge disparity between prices on various exchanges. My first inclination was to create an arbitrage bot that would buy on one exchange, then transfer to another, and sell again. There are numerous problems with this approach, not the least of which is that you can only really transfer BTC between exchanges and not other currency.

My next thought was this: watch MtGox and assume that it drives the market price. Then buy/sell on another exchange, taking advantage of the fact that there is a delay.

Long story short, it's not as easy as this. However, there is definitely an opportunity for arbitrage here as for example currently BTCe is showing $65, while BitStamp is showing $61.