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I meant that if, for example, you agreed with a stranger to buy x BTC for y USD over, say, paypal, then they could pay you, then you could not give them the BTC, or you could give them the BTC and they could complain to paypal. Paypal would be likely to reverse the transaction, and you would find it very difficult to prove that you were in the right. You need trust in the other party for a transaction to be safe, and big exchanges like MtGox are inherently more trustworthy than an anonymous person you meet in an IRC, for example.
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True, it is very important not to accept reversible payment methods (such as paypal or credit card) when offering bitcoins for currency exchange unless you already have some significant form of trust relationship with the buyer. It is much safer to meet in a public place and exchange physical cash for bitcoins (which can be arranged at localbitcoins.com or at the IRC bitcoin-otc channel).