If you look at the various bitcoin exchanges, you notice that some have a higher price than others.  MtGox is currently the exchange with the highest rate (when standardized on a common currency).  That's indicates an increased risk.  People charge more for bit coins on MtGox , because there is a greater chance of them losing their proceeds.

When looking for an exchange, do the following:

Pick one with lower BitCoin Quotes (when standarized against a common currency ie. USD)
From the list of these candidates, pick one with high volume  (ussualy goes hand in hand with above)
and tend to choose one in your own country or close by.
If you live in a country, where they tend to shoot you, if you complain; pick a stable democracy instead.

I went with an exchange in my own country.  That way, I don't have to travel half way around the world to break somebodies kneecaps, if they defraud me