You can do it, but most exchanges require 6 confirms which can take around an hour. You'll be betting that the price difference will be just as good in an hour.
Just as an example, bitstamp is trading at $75 while Mt. Gox is at $120 right now. So if I were to buy bitstamp coins, assuming no major market movements rapidly drove Gox down (which would also drive bitstamp down too) you could move BTC from stamp to Gox and pocket a profit of around $45 per coin by taking the risks involved.
Actually, Mt. Gox has no active market now so the last quoted prices there are irrelevant.