In a Bitcoin exchange, I would look for it's fees, features, solvency and customer support. In a Bitcoin exchange, solvency is most important. Mt Gox was insolvent for many months before it was public and there were still extremely huge volumes. This in unacceptable and an audit should be done frequently as a proof of solvency by a third party auditor like what Kraken did. Most exchange have to comply with the local KYC polcies and there may be delay. With a good customer support, the documents can be passed quite soon enough and would not turn off bitcoiners. It isn't acceptable to wait up to a week just for the verifications.