I'm implementing APIs from several trading sites at the moment. It's a good way to find shortcomings of an API and compare different concept of requests or posts.
I thought it might be helpful to post some of the findings, so site owners can improve their APIs if they are interested. OTOH it might be helpful for implementer to share workarounds for some problems.
As a start, I'll mention the MtGox trades method.
https://en.bitcoin.it/wiki/MtGox/API/HTTP/v1#Multi_currency_trades
It has a filter to fetch all trades since
Intersango implements filters:
https://intersango.com/api.php
and they have a paramter last_trade_date, although I don't understand yet, if you request all trades earlier than this date (not so good, I think) or all trades after that date.
Ciao,
Andreas