If you're looking to get into Bitcoin day-trading, BTC-E is a popular choice. The website is known for its horrific (but amusing) Trollbox, a chat room where users mess with each other's mind, all to maximize their profits.
Many new users first question in the Trollbox is "Why is BTC-E BTC so cheap?" It's a great question, and it's completely understandable. For instance, at the time of writing, BTC-E Bitcoin is worth $509 USD, MtGox.com is $583, and Coinbase, the easiest way for Americans to get money in and out of Bitcoin, is at $592.
How can Bitcoin Have Multiple Prices?!
Bitcoin's price is determined by what people are willing to pay for it, but how they do so is really important too.
The short answer is simple: Bitcoin is cheap in BTC-E because getting cash in and out of the exchange is difficult. If it was too easy, the price would rapidly catch up to other exchanges as an arbitrage situation would arise.
Arbitrage is, in plain language, buying low and selling high, but in this case, it's just not possible because arbitrage leads to price equalization, not difference. Yet, the difference still exists.
The longer answer says that cash must also be hard to get into the exchange because BTC is, by my own experience, virtually effortless to get Bitcoin out of. Therefore, getting cash in must be hard because if it wasn't, an American could simply buy BTC-E Bitcoin, move it to Coinbase, and once again, take advantage of simple arbitrage.
That said, it might only be the case that cash takes a long time to go either way, but I have seen so many complaints in the Trollbox alleging fraud and other terrible things, I wouldn't try to get cash in or out of it.
For all these reasons, I recommend BTC-E as a way to have a good time with a few Bitcoins and not much else. The exchange is based in "an unknown city in Bulgaria," so basically, at any moment, they could run off with everyone's Bitcoin which has happened before. Yes, that is a distinct possibility, so have fun and be careful out there.
MtGox.com is much safer, but is supposedly insanely difficult to get cash out of, and the verification process is among the more difficult to go through. You might ask, "Well, wouldn't that cause the price to go down?" It should, eventually anyway, but MtGox has so much volume, Bitcoin, and many investors - ergo, people who want the price to be as high as possible, this can make a big difference in preserving the price.