i am not normally one to speak positively of regulation, but this is one of several reasons that money transmitters and MSBs require licenses in the US: too many unscrupulous people have started up such businesses, then there is a "theft" of funds and all the customers are missing money.
I'm not either and because of the regulations I would never set up my own exchange of any sort. However, I do benefit from it by only using coinbase for my transactions since they do follow the US regulations and are a US company. I feel much more comfortable doing bank transfers to coinbase for BTC purchases that I would with other random exchanges (be it BTC-E, Cryptsy, Coinex, or someone else). Also getting cash back from them by selling BTC is easy and direct to my bank account.