I actually ran 2 different bots with a few variations of each (for different brokers).
My first bot was an arbitrage bot running on different markets, USD, GBP and AUD. There is still huge opportunity to make money using arbitrage as I've not seen many people do it well. The trouble comes from transferring the funds between brokers, there is often a cost incurred that you must consider and price into any profit equation. @skarmklart, yes the payoff compared to the trading volume is small, but it is low risk and almost guaranteed profit.
I ran the arb bots for a few months and made around $15,000 after which I decided to step it up a level. (I started with $100)
Trading and investments always consist of a balance between risk and return. The risk for arbitrage is very low, and so the return is also low (but consistent). The return for technical analysis trading is much greater but the risks are also larger.
My second bot was programmed to take advantage of technical analysis. I realised that in the bitcoin world it is actually much simpler than people lead you to believe. I set up a database to capture price feeds, then used some free technical analysis tools to produce buy and sell signals automatically. I then plugged the signal feed into my trading api (which I wrote from my original bot) to execute my orders.
Here's some useful links: http://ta-lib.org
Books: Reminiscences of a Stock Operator gives you an insight into trading psychology
Market Wizards (there are 3 books in this series): http://en.wikipedia.org/wiki/Market_Wizards