It is quite obvious that in (maximum) few years some of world's Governments are going to start perceiving Bitcoin as a threat.

When they do, first thing they are going to try is closing the biggest players (like MtGox, which allegedly is reponsible for 80% of all BTC trade in the world) to force the currency into underground.
Taking megaupload takedown into consideration this scenario is IMHO not only probable, but inevitable.

I wonder, is the market decentralized enough currently to support transition from big players to smaller, local markets ? I mean, shouldn't we all support different (other than MtGox) services so when government shuts it down, devastating effects of the catastrophe will be smaller ?

Government will try to stop Bitcoin, that is only a matter of time. We kind of already know that is going to happen since the beginnings, so why so many people are still using MtGox ?