Buying on one exchange then selling on the other
Well for one, it's almost impossible to get money off of Mt.Gox. (I had a wire transfer pending for 3 months and finally decided to just cancel it and take the loss.) Some bitcoin exchanges refuse to do business with the US (btc-e) and some only do business with the US (coinbase). Bank transfers are not cheep and the exchanges take a somewhat large fee for moving money onto and off of their exchange (~1% each way.) 

But some people do make money like this. You will find though, if you actually do the math for all the transfers and fees and what not that you would only be making a small margin and that only sometimes. 

It's absolutely doable but you need to be doing it at scale and with good and fast programs managing your assets to really make a profit at it.