Without doing a lot of due diligence, it might be hard to figure out which exchanges are well run. And its not like lying to auditors etc hasn't been done before.
Maybe the exchanges can join together and offer something like FDIC Insurance?
• Receipt of insurance is contingent on meeting requirements for insurance, so it's not blind assistance in the face of incompetence. The 3 years of account thefts reported to have occurred at Mt. Gox would, hopefully, have been detected. Even collaborating on more secure storage and trading systems. There's a precedent for this: it's how the large credit card companies (BankAmericard, I mean, Visa and Interbank/Master Charge, I mean, MasterCard), were formed.
• Rates would correspond to perceived risk, providing a market feedback mechanism.
• Some risks are incidental and random. Weaknesses in protocols, problems in network or technology stacks (independent of individual exchange software).
• The end result is a greater level of trust in the entire marketplace as a whole, so: more transactions, more members, more profits.
Maybe the exchanges can join together and offer something like FDIC Insurance?