I was discussing this with a friend the other day too.

Take BTC-E for example - you can deposit EUR via SEPA for a very small fee, so buying shouldn't be too hard?

deposit wire transfer $790
buy 1BTC @ $790 (example)
$790 for 0.998 (after trade fee)
withdraw to another exchange's deposit account - you now have 0.997 (after withdraw fee)
sell 0.997 @ $830 (example) on Bitfinex (or other exchange where its higher) = $826.62 (after trade fee)
withdraw wire transfer cost $10, leaving $816.62

Only $26 profit, but still, doable??