The problem with ideas like the Nefario exchange
is they try to solve both problems at the same time. The really important part is determining the market price for, say, USD vs BTC. You don't need to interface with any real world banks for this, it's just a betting market. That means you can use the full power of the bitcoin model, and make it p2p, not rely on trust, keep it entirely on the internet, and make it pseudonymous.
The second part, actually exchanging BTC and USD, is easy once the going price has been established. Think of private people selling used cars based on the blue book price. You just find somebody near you and do a cash swap, or find someone on #bitcoin-otc and do something with dwolla or regular bank accounts. At this point it's just a couple of individuals doing a harmless little transaction which is almost impossible to identify or fight.
Sorry if I'm repeating myself, but these are pretty new concepts, so I'm not sure how best to get the point across.