Also you don't see wallets as much as you see addresses, a wallet can have many addresses, which can only be identified as part of the same wallet in special cases, which mostly apply to pools and exchanges.
Major exchanges are like gigantic mixing services, you can't tie what comes out to what came in, and individual exchange addresses balances are meaningless (actual balances are only known to the exchange database) so blockchain wise they're mostly interesting in terms of size and money flow, as ideally you don't want any single exchange to dominate like MtGox did.
If you're concerned about anonymity, be wary of exchanges however, as exchanges have your whole IP history in addition to your trading history. If an exchange gets hacked or fails MtGox style, all that data could become public.
