I'm attempting to do statistical research on the Bitcoin market, and I would like to have access to the transaction data of as many exchanges as possible. Specifically, I'm looking for every trade made on a given exchange. Mt. Gox is obviously my primary interest because it handles the highest volume. Is this data available for download anywhere, or am I going to have to start collecting it myself? Specifically, I want to be able to store all transactions in a SQL database, so I would like them in an easily parsable format.
You can use the API to retrieve such data.
I found a SQL database of all Mt. Gox transactions (updated every few hours) along with the accompanying Python scripts here.