Biggest issue is still delivery imho.
Either the exchange holds items/gold in escrow --> easy to ban from Blizzard side.
Right from the beginning of the EULA:
2. Additional License Limitations. The license granted to you in Section 1 is subject to the limitations set forth in Sections 1 and 2 (collectively, the "License Limitations"). Any use of the Service or any Game in violation of the License Limitations will be regarded as an infringement of Blizzards copyrights in and to the Service and/or Game. You agree that you will not, under any circumstances:
[...]
2.2 exploit the Service, a Game or any part thereof for any commercial purpose, including without limitation (a) use at a cyber cafe, computer gaming center or any other commercial establishment without the express written consent of Blizzard, unless otherwise stated in a EULA; (b) to communicate or facilitate any commercial advertisement or solicitation; (c) for gathering in-game currency, items or resources for sale outside the Game without Blizzards authorization; (d) selling or trading Game characters or accounts for the Service and/or a Game; or (e) performing in-game services in exchange for payment outside the Game, e.g., power-leveling;
[...]
2.4 buy or sell for real money or in exchange for in-game currency, items or resources that may be used in a Game outside the Game without Blizzards authorization;
After you've been banned, you'd have to go to court - good luck with that!
Otherwise, delivery would have to be done by the people advertising --> scams, scams everywhere! It might be possible to have someone from the exchange as a 3rd person in the game (A sells item X to B --> A gives item X to escrower, escrower releases BTC to A and hands item X to B ingame) but then it doesn't scale or requires bots, which is something that Blizzard might be even more allergic to than selling gold/items outside of the game.
You could offer a service to fund anyone's BattleNet balance with your PayPal account paid with BTC though, which would be something similar to an exchange operation.
Something else that might work would be to use the official (gold) Auction House to transfer gold. There are high fees, but in the end ingame all you do is trading. It might still be bannable, but harder to detect maybe. It'd work like this (if you want to have gold):
* Get a unique item (blue or higher, random cheap one from running Act 1 on Normal difficulty for 2 minutes)
* Put it up in the auction house for a buyout of the amount of gold you want to have
* Post the exact values of this auction + item to the web site
* As soon as the auction is verified as being truly unique (no other auction with an item that has the exact same item values and buyout), it is bought by the counter party who sold the gold
The 15% fees are happening there again though...
