"If you're using an exchange, they try to calculate a fee that will get your order filled pretty quick and avoid those "I sent funds out of Exchange X 3 days ago and it still isn't in my wallet!" complaints."
The vast majority of exchanges don't allow you as a user to set the outbound (withdrawal) fee. Hence the complaints about not receiving the coins, since users in that situation didn't have any control over the fee choice made by the exchange. Exchanges typically batch up withdrawals, so have large (byte-size) transactions, which need large fees to go along.
Users do have control over fees going into exchanges. For transactions you as a user are sending anywhere, it's good to emphasize that higher fees are needed for faster transactions (not for more valuable ones, necessarily).
It's like paying for overnight shipping versus ground shipping for an item. Whether you're shipping a diamond ring or a paperclip, the weight's similar, so the shipping cost will be similar, and only vary on how fast you want that item delivered to you.
Good response. Perhaps I should write a "Why do Bitcoin transactions take so long!?" post for those experiencing the other side of the coin.