I use Bitfloor because it's the easiest exchange for me to move dollars into, so I buy bitcoins there and immediately withdraw them to cold storage.
I used to do this... as you can usually get a way better price than 'last' if you just use bitinstant. However they lost Wells Fargo deposits so that kinda puts them out for me.
As a side note: Any exchange or service with reasonable fees that opens up deposits at a US Bank will probably have all of my future fiat business.