There are (some) ATM machines in downtown 'Buda' as well as in 'Pest' (at least one is at the airport too). Banks are ususally open on weekdays from 8:30AM to 4PM (but also on weekends in the airport).
But the best exchange rate I got so far was at a bank in the Vienna airport changing Austrian Shillings in to Forint (sep-2000).
The Hilton (adress: on the Buda hill overlooking Pest and the river Duna = Donau, Hess Andras tér 1-3, H-1014 Budapest, tf (01) 2143000, fax (01) 3560285) concierge will gladly look for any theatre/opera ticket for you (he will expect a tip of US$ 10-20 for doing so) - give him at least a 24 hours advance notice (and tip him right away when asking for his service; why not fax him in advance?).
Parts of the hotel (the gambling casino too, which offends my feelings a little bit) are in/around the remains of a 13th century Dominican chuch.