Search the forums--there have been multiple threads about it before.
One simple answer is: all exchanges take fees from every transaction, so with the high price of bitcoins (and the lagginess of Mt. Gox
) it's not quite as profitable as it might appear.
Also, unless you want to withdraw cash from one exchange and move it to another (which can take days or weeks), you need the price unbalance to move back and forth between exchanges, which doesn't happen very quickly...