Does anyone do it between exchange and across currency?
With the help of forex services like CurrencyFair and TransferWise, an individual might find success performing arbitrage against multiple currencies. For instance, after converting USDs to EUR, you might then be able to buy BTCs on a BTC/EUR market with those EUR at a less cost than what it would have cost using those funds before converting to EUR.
One problem with that is that some exchanges (e.g., Mt. Gox) require that the account the funds come from must be the exchange account owner's own account. When doing the EUR transfer from CurrencyFair, the sending bank account is CurrencyFair, not the individual trader's account. Not all exchanges have this restriction.
There's some decent info on arbitrage opportunities here:
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http://bitcoin-analytics.com <--- Delayed, unless purchase the premium subscription.