Why does Mt Gox disallow YubiKeys purchased direct from Yubikey.com?
Properties of a yubikey:


A yubikey contains a secret symmetric key.
Knowledge of this key allows emulating that yubikey.
The server needs to know that key.

  The YubiKey AES Key information can never be extracted from a YubiKey device – only programmed to it



So Mt.Gox's insistence on sending the key to you ensures several important properties:


You're not tempted to use the same key to authenticate to other websites, which would allow those websites to break into your Mt.Gox account
You don't need to send the key to the Mt.Gox server through your potentially insecure computer
Nobody but Mt.Gox knows the key stored in your yubikey


So pre-programming yubikeys and sending them to you only after the key was programmed into the device rules out several possible threats, and thus seems reasonable risk management.