If you happen to be in Geneva, Switzerland, you can get pretty good deals at any of the exchange places on the way down Rue du Mont Blanc as you emerge from the main train station. Not so sure about Zurich, can't seem to find the same sort of places there. Avoid the banks, their greed, as usual, gets the better of them and they charge silly fees.

Remember also that you get a free public transport ticket valid 80 minutes which you can pick up before leaving the baggage hall at GVA airport. And most hotels offer free transport tickets too.