Default risk. The price for a bitcoin that is currently held by Mt.Gox factors in the market's expectation that said bitcoin will be able to be redeemed from Mt.Gox. Analogous to why your bank charges you a higher interest rate on a loan if you have a poor credit score, to compensate them for the perceived risk that you fail to repay the loan.

Non-Gox bitcoins have higher utility, in that they can be withdrawn.

Because the current price is just whatever a seller and buyer have 'agreed' to pay at any one time, if there are possible issues with bitcoins on one exchange (for instance, the real or imagined possibility that your bitcoins may go missing on MT Gox, or that there will be difficulties selling or retrieving the ones you hold in that exchange), people will be willing to pay less than the going rate for bitcoins on that exchange. Elsewhere, where this issue doesn't directly exist, people will still be willing to pay full price (though issues at MTGox may affect buyer confidence on other exchange, which leads to an overall decrease in Bitcoin price).

Gox is holding both the bitcoin and the dollars involved in the trades.

They have been doing a questionable job of transferring dollars out to customers for months and recently they stopped transferring bitcoin out to customers (supposedly due to some technical issues).

So basically MtGox isn't very connected to the general market.