Sending bitcoin to an exchange will take a few confirmations. Therefore, some people have no choice but to store bitcoin on exchange if they want to be able to sell at any time.
With proper use of multisig, bitcoin could be transferred to the exchange and be available for selling immediately:
1. Create a 2-of-2 multisig address with user's key and exchange's key
2. User sends bitcoin the the multisig address. Wait for 6 confirmations. Now the bitcoin couldn't be spent without signatures from BOTH user and exchange. Since the bitcoin is not under exchange's solo possession, it is not available for selling (not even for placing an open ask order). However, the exchange has no way to run with the locked bitcoin.*
3. Some time later when the user wants to sell the bitcoin, he signs a transaction to send the locked bitcoin to an address exclusively owned by the exchange, and forwards the partially signed transaction to the exchange
4. The exchange completes the partially signed transaction and publishes it on the bitcoin network. Since the user has no way to double spend, the bitcoin could be sold on the exchange immediately.
A system like this will minimize the exposure of the bitcoin to the exchange, while still allows users to sell bitcoin at anytime they want. It also demonstrates how bitcoin is superior to fiat: the same scheme could never be possible with fiat.
*If the user worries that the exchange will suddenly vanish and make the bitcoin permanently locked in the multisig address, there are some tricks: please read https://en.bitcoin.it/wiki/Contracts#Example_1:_Providing_a_deposit
These concepts seems very interesting.