There were times, where there price diff between Bitstamp and Gox was around 5 $ over a longer timeframe, happened in both directions. And I remember a time, where BTC-E was about 10 $ cheaper. But nevertheless, the price movement was about the same. I think Gox leads, but I've never seen anything crazy where Gox could have followed, but didn't.
What really impresses me are larger sells and buys, where it seems it directs to one single person. For example the huge buy on sunday which happened on Gox, but Bitstamp instantly followed, which either implies the big guy is active on both exchanges or many smaller buyer followed that one buy. I guess, I can only speculate about what really happens.
A nice experiment would be to seperate two or more groups of (many) traders, give them the same data to start and see, if they would behave in the same way, but without knowing how the other group does. Both outcomes (they end up with the same result and or not) would tell much about the markets and trading altogether.
