i've always just used the ATM's as that is what i would normally do at home. just be aware of what your bank will charge you. i find that using my natwest card i get as good an exchange rate as any.
there are exchange shops in town but i dont know what rates you get, but from past experience it has never been that much better.
most hotels will also exchange money, but again their rates will change daily and may not be as good.
just remember that for every cent extra you may get on the exchange rate you have to change £100 to gain 1 euro. you also have to carry that amount of cash with you.
is it really worth the hassle spending holiday time trailing round shops and banks etc to try and gain a couple of euros