They did have one major issue back in March 2014 when they were hacked (or more accurately, someone discovered a method to exploit a bug in their withdrawal mechanism) which saw them lose about 15% of their users' funds. They did eventually make all of this back though.

Few exchanges have had zero major security issues. Cryptsy is one of the luckier ones, although lots of people complain about withdrawal delays there. I think Bittrex is another one that hasn't suffered a major hack yet.

I know some people actually prefer to deal with exchanges that have been hacked in the past too. The idea is that they would have learned from the experience and strengthened their security practices. Personally, after witnessing what happened to Mt. Gox and Bter after their first hacking incidents, I think it's a stupid idea.