I've heard the bureaux de change on site is very expensive - how do you usually change your money? Do you change it before you go or do you take traveller's cheques?
I agree with UKstitch, think it's better to use a credit/debit card where possible. We changed money before we went on our first trip, but it was much easier and better value using a credit card the last time. You just have to watch out for charges. My bank charges £1.50 per transaction when abroad, but to avoid that you can ask at check in to use your easy pass as payment. That way you get everything charged to your room and then it gets paid in one go that's what we did in January and it was great - no need to carry cash or anything like that.
I also use this - and I also use a $ one in the States too. It give a better rate than exchanging cash, plus you can also use it to withdraw euro's from a ATM with out being charged the exchange rate. If you go into the Euro zone more that one a year it's great as mentioned, you can just top it up and use it as any other visa card. The beauty is you've already paid for it! I also use mine in Germany! Just make sure you remember your pin number (though in the States you don't use this or sometimes even sign *eek*)
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