Tony's example is an oversimplification, but in fairness, some (bad traders) people do scalp in a similar way. They are generally not very profitable and are the ones stuck in the never-ending search for perfect indicators and other types of sillyness. One of the first rules is to buy low and sell high, but to ignore what's going on with price is a huge mistake.
cwar just showed you guys that it's not neutral EV.
Tony,
You made the comment that scalping is for people with no confidence in the market. I really would have to disagree. You can't trade any strategy profitably without confidence/proof that it works.
MM,
It's highly profitable because it's almost unexploitable. Or at least it's not cost effective to go after scalpers. Why would you spend any time thinking about what the guy trading 4 contracts is doing? His effect on price is negligible. Scalping exploits market structure. In some ways it exploits the way market makers exploit the market.
There's a quote from a scalper's blog that explains scalping:
"When i trade at home, I often watch the sparrows in my garden. When I feed them bread, they take just a little piece at a time and fly away.They keep on flying back and forth, taking small bits of bread. You will never be able to shoot a sparrow, it is just too fast. That is the way I day trade". M. Weinstein.
EDIT: For those curious about scalping...
http://forexbird.blogspot.com/search/label/setups
I'm not sure dude is particularly good, but he has decent long term performance. IMO it seems he trades a bit too much, but if you're curious about how scalping works he basically tells you everything he does.