Mt. Gox operates a hosted (shared) EWallet. That means that the bitcoin address provided to you for making deposits is not your address, it is instead Mt. Gox's address that they will monitor and credit your account for for any coins received at that address.

But to withdraw, you are entirely at Mt. Gox's mercy.

Their terms of service, shown when you first sign up, include verbiage that justifies nearly any action they take with your funds.

Now they have, for the most part, been fair in their dealings, but why oh why would you want to place your bitcoins, those units of digital currency you worked so very hard to acquire, into the hands of someone else who insists on a usage policy that gives them all the power and you none?

When you use a hybrid EWallet (e.g., Blockchain.info/wallet or Strongcoin.com ) or an SPV client (e.g., Electrum, Bitcoin Spinner for Android) then your Bitcoin address is yours. Blockchain.info only stores and encrypted copy of your wallet on their servers, so they don't even have access to your coins. Bitcoin Spinner stores the private key that all your bitcoin addresses derives, and the back end server that it connects to does not have access to that key.

That those are the reasons against using Mt. Gox as an EWallet.

The reasons why you might include convenience. Mt. Gox's hosted (shared) EWallet offers security and convenience: