Yes, sometimes funny things are going on.
In a podcast about bitcoin exchanges it was said that there are many exchanges with stealth and with phantom orders. There are also rumors that bitcoin exchanges get liquidity from mining pools. As I understood it, bitcoin exchanges sell the bitcoins that mining pools did mine.
Using
http://www.orderbook.info and filters I observed that bitstamp and coinsetter often show the same side / size / price triples - actually the price varies a tiny bit. On bitfinex some orders disappear and re-appear just some seconds later.