Often at work if I am travelling to a country or currency zone from where a colleague has just returned from I'll offer to buy currency at the ft.com middle rate. I don't know if such private deals are illegal.

I remember once when working in France an English tourist came into a Citibank branch and asked to exchange his pounds into euros. The bank said they did not do this. Meanwhile we earned in euros and always wanted to exchange our excess cash into pounds. So we had a quiet word with him and exchanged the money. We took out fresh euros from the Citibank ATM just so he was sure we were legitimate (except for the possible illegality of the whole exchange thing!).