MtGox's API documentation says that all data, including market depth, is cached every 10 seconds. This means that you can't find out about changes to the market depth more often than that.
They also have a socket.io API documented here:
https://en.bitcoin.it/wiki/MtGox/API#Streaming_APIDoes the socket.io API only return results when the cache is updated (in which case there's really no advantage to using it unless you're writing code stuck in a browser), or does the socket.io API return order book changes more-or-less as they happen?
Thanks,