The biggest exchange, if you're interested in day trading, is Mt. Gox: https://mtgox.com.

They've been tangled up in some legal trouble recently. A smaller, but currently safer, exchange is CampBX: https://campbx.com/main.php?r=2D63QDP2hvq

If you want to buy Bitcoins, but aren't specifically interested in day trading, you can also buy through BitInstant (https://www.bitinstant.com/) or Coinbase (https://coinbase.com/?r=51a5b0d3867ba8db8e00000c).

If you're not sure what you're looking for, I have an article that's aimed at getting started from scratch, starting with setting up a wallet: http://www.bit-buddy.com/bitcoin-wallet.html.