What about delays in buying BTC at BTC-e. From the time you put the buy order in at the sell price, to the time you are able to withdraw the BTC? Is There a delay here?
1 second. I think, this should be the same on every exchange, where you first have to upload dollars. The other kind of exchange (bitcoin.de! maybe localbitcoin.com?) works like this, that you only upload btc to the account. If you buy a bitcoin, you transfer your euros from your bank account to the bank account of the seller. When the sellers confirms, that he has got the euros, you get the locked bitcoin. So after the buy it can take 1-3 days until you get the bitcoin.
I don't use MtGox, but I heard it can take weeks to get out your dollars, euros etc.. Because of that the price of bitcoin is much higher there.