I went to BTC-e for the trading, but stayed for the trollbox.
I started out on Mt.Gox, as many do, but pulled everything out of there a long time ago when warning signs first started appearing.
Before using any exchange, research as much as possible to see if others have had problems getting their money out. Also make sure they support 2-factor authentication
and use it! The only thing that concerns me about BTC-e is the language barrier with support, but I've only needed support once and PMing dev got it fixed within a couple minutes.