There's no great answer to this, but unless you're going to exchange a large sum of cash, you typically won't get the cheapest rate. And you usually don't want to be carrying a large amount of cash on you at all times.

What I generally do when going to a new place is get $100-$200 local currency from my bank. Then once there, grab enough cash to last several days. It's one thing to save on the exchange fees (hopefully you'll have an no FX fees account as others have mentioned) but I'd rather pay the small amounts vs. losing a large chunk to theft/falling out of your pocket/etc.