The terms to look out for are Backwardation (where futures price is below expected spot price), and contango, (where future price is above expected spot price, quite common in the oil markets I believe). It can be tricky to find any arbitrage though, as there is the cost of carry, taking delivery etc... - and even after all these costs have been accounted for, there is the opportunity cost of spending all that time and effort for relatively little reward.
I read somewhere about there being an inherent difference in the positions of speculators and hedgers that could lead to situations like this - IIRC speculators tend to be long, hedgers tend to be short (w.r.t. futures); the "guts" of it was that speculators won't be long unless there is +ve expected profit, while hedgers will accept -ve expected profit because it reduces their risk - so if more speculators are long rather than short, the futures price will tend to be less than the expected spot price at expiry, and they can expect to profit as futures price converges to spot.
