Just saw this come up on Twitter and thought I'd drop in. We sell a Stop Loss bot which runs on BTC-e, Bitstamp and Mt Gox. It checks the price every 10 seconds (configurable) and sells if the price drops below your stop price. You set your stop price in a CSV file and can change it while the bot is running.

We have one packaged up and ready to go for Bitstamp (normally it's sold separately from our Bitstamp API wrapper).
http://www.botsofbitcoin.com/product/bitstamp-stoploss-package/

Hope this helps. I have to say, it's one feature I think the exchanges could do with adding.