Can I get to know how many orders are placed at a particular price (bid or ask) on an exchange (like Mt.Gox, Bitstamp etc.)? There might be a wall of 1000 BTCs - do I know if this is a single order or 100 smaller orders? I am asking because this has to do something with a stability of an order book... a single big order can be removed quickly and destabilize the market in my opinion.
You simply don't know via any existing APIs that I'm aware of. Potentially you could regularly update a market depth API watching for large changes at a price point which would indicate a large order.
However you can't tell whether someone has broken up a large order into a number of smaller orders, and using a bot it's trivial to cancel a large number of orders very quickly.
Google Market Depth, and you'll find plenty of them:
I personally use http://bitcoin.clarkmoody.com/ for MtGox.