Mt Gox is one of the biggest exchanges. It is probably one of the most secure ways of buying bitcoins because it deals in such large quantities. However, they only deal in thousands of dollars worth. The minimum purchase is probably $1000.
I am not too sure about the smaller exchanges but I know the smallest sometimes get hacked and people lose their bitcoins. Maybe an expert on these forums could offer better advice than me.
Clearly you haven't used gox. Takes ages to get your money in and out of there. Avoid it.
Well, if we are talking about buying bitcoin, it is okay to use mtgox,
if you don't mind the following:
1. The price is significant higher (Bitstamp: ~800 vs Mtgox: ~940 at this moment)
2. There is a bad delay in btc withdrawal (yes,
BTC not fiat)
https://mtgox.zendesk.com/entries/26501000-Statement-Regarding-BTC-Withdrawal-Delays