Such a difference between exchanges is because of significant withdrawal difficulties. I.e., Mtgox has some trouble withdrawing USD (large latencies due to internal exchange issues and official formalities) and, for some period, was not performing this operation at all.
Also, exchanges differ on each other: i.e., mtgox and bitstamp require identity confirmation and are subject of taxation and btc-e is not. Thus, they have different volumes and audience. You may watch https://support.mtgox.com/entries/21649594-Withdrawals-and-Deposits and https://btc-e.com/page/2 for more details.