Depends on where you live. Coinbase is a great place to start buying and selling your first BTC, but for exchanges, you need to see if your country allows banks to transfer funds into exchanges. BTC-e is decent if you're not withdrawing USD. BitFinex is great if you're going to be using USD.
Do NOT use MTGox for any reason, as they've been plagued with deposit / withdraw problems for months now, ever since the Feds confiscated millions of dollars worth of BTC from their Wells Fargo account in the US due to non-compliance with money transfer business regulations.