I lost bitcoins and investments on GLBSE (https://en.bitcoin.it/wiki/GLBSE) when it closed.

Then I had my own exchange, BTC Trading Corp, which was forced to close due to regulation. (Though I kept it online long enough to process withdrawals and generate tax reports!)

Then I lost a whole bunch of LTC when BTC-e (https://en.wikipedia.org/wiki/BTC-e) was forced to close due to failing AML regulation.

So now when I look for an exchange I try to figure out:

• Is it secure?  Do they have per-trade 2FA and experienced developers and system administrators?
• Is it in a jurisdiction with good legal structure?  If they run with my money - are the local police even going to care?
• Is it legal?  Do they follow the laws of not just their own country, but also all countries around the world that might seize them?  This applies to AML, KYC, Securities, etc.
• Is it transparent?  Can I easily find out who they are and where they are located?  (important if I have a legal dispute with them)
• Is it properly registered?  Can I easily look up their business registration and licenses on the internet?
• Do they have low trade fees without me having to hold one of their special tokens?  I don't care if they profit share or any of that gibberish - just give me a low trade fee in the first place!
   Profit sharing will never give me as much back as I give in over-priced trade fees - that is WHY they do it!
• In their jurisdiction do they have a fiduciary duty to protect me?  This means - do they legally have to put me first?  Or can they put themselves first?  This is important if something happens and they lose your money or if a hacker takes your money using flaws in their exchange.

I've been around in the cryptocurrency space since 2012 and I've seen a lot of bad things happen to good people.  I hope that helps!

Cheers