At the moment the price spread between the BTC-e ask ($243) and the MTGox bid ($246) is just 1.2%, making arbitrage non-profitable.
At 4am last night, you would have saved $15 per coin.. it varies by time of day. The margin needs to be at least 7% to be profitable and that's just to cover the fees to move money and coins between the two..
Sometimes the price difference is quite high. You lose 3-4% on fees, so if difference is higher than that, then it is profitable. Though probably the best strategy is to wait until the difference is at least 7%, otherwise you are likely to hit your withdrawal limits at mtgox without noticeable profit.