Umm wtf BTCe does ask for identification......if you want to use their bank to deposit or withdraw they require it- also if you use the other services with deposit/withdraw e.g OKpay you need to verify with them before you can send money to them. I know. I've had to do it twice for them....

Crypto-only exchanges like cryptsy and mintpal will not because they dont need any banks or interface to the outside regulated world.