You're not clear on the velocity of the marketplace. At this moment in time, being able to convert to fiat instantly is NOT a good thing. You WANT people to stay in the world of BTC. BTC will never be a viable currency until people want to earn it, spend it AND hold on to it. Otherwise, its just a play thing that no one will take seriously. Besides, the trading is so thin right now that a couple of large purchases that are instantly put on Gox can have a widespread, negative effect. In my experience (keep in mind that I deal with some LARGE wallets) it can take as little as 100BTC to really affect the price. When I have 150+BTC to sell I take my time, usually at least 24 hours, sometimes more.
shallow orderbooks are a problem... but I think a bigger problem is that everyone and their brother pegs their prices to gox - so any time it's affected everything else follows it. Specifically, speculators on every other exchange. It isn't efficient in the sense that it being arbitrated - people are just following that single market to set their price.
Actually, the mtgox price has been lagging behind the other exchanges. I guess the mtgox users are just sheep following btc-e and bitstamp.