Yep, same here. Recently used https://bitbargain.co.uk (no affiliation at all) to get myself a couple though, and was surprised just how simple it was.
bitbargain certainly seems to be a step in the right direction. I guess being an escrow service allows them to skip a lot of the legal work involved in setting up an exchange.
Are their prices set very much higher than the 'going rate' for bitcoins?
