I've been getting them from my bank. Not a lot. Usually enough so that I don't have to scramble for currency in the airport to tip, buy a snack, or pay the cab.

As a preferred customer, my bank waives some of the fees and gives a discount on the exchange, but its definitely a slight premium over the best exchange. But for $100 it amounts to less than $5 so its ok for the convenience.

My bank (Bank of America) has specific ATM partners in Europe where I can get Euro's from an ATM for a lower rate, but they still ding me with about a $3 ATM fee. So does the European bank.

So, I am comfortable paying a slight premium to have some 'folding money' when I arrive. I now always seem to have 20-50 Euro left over from previous trips at home, so I use that if I only need Euros.