If those are your only choices, I would rank them:

Best = use Citicard for purchases or Citi ATM card at a Citi-owned ATM
Next = use Citi ATM card at non-Citi-owned ATM (not as good as "best" because in addition to 3% there is probably a $1.50 per transaction fee)
Next = cash exchange there (at least in busier cities that have a variety of places to exchange cash)
Worst = exchange here (unless you have some special relationship with a bank that will hook you up with great rates)