My prediction is that more Bitcoins will be lost on the Exchanges than will be lost during face-to-face transactions.

There is much useful information in this thread, but for me, the general rules include:

• agree on price and procedures in advance
• meet in a neutral place with video surveillance and secure wifi
• verify that both parties have all the required Bitcoins and cash
• perform incremental transactions, exchange small amounts first
• if the other party wants to change the procedure, walk away
• never do a transaction with anyone who tells you that it will be used for something illegal