In a small bowl, combine shallots and balsamic vinegar, then let shallots macerate at least 20 minutes. Meanwhile, using a fine grater, zest 1 orange (avoid the white pith), then add to the shallots. Juice the grated orange to get ⅓ cup juice, then add to the shallots. In a thin, steady stream, whisk olive oil into the shallots, whisking until the dressing is well combined. Taste and adjust flavor with salt and pepper.
Cut ½ inch off the top and bottom of the remaining 2 oranges. Carefully remove the outer white pith by slicing from cut end to cut end. Using a knife, carefully remove each individual segment, leaving no pith or membrane attached.
Place arugula in a large salad bowl, then toss with just enough dressing to coat. Divide the greens among four to six salad plates. Arrange the orange slices over the greens, then sprinkle with pine nuts and Gorgonzola. Drizzle with a little more of the dressing and serve immediately.