I presume we're speaking about quite a significant sum of money here otherwise it's not worth the hassle.
The most effective route is just to open a foreign currency account at your local bank. Bank accounts do not just have to be in your own national currency (many businesses have a whole range of different foreign currency accounts). Transfer across the funds, which will go at today's rate, and then just collect them when you travel.
If your bank does not normally do foreign cash over the counter you will probably have to order it a few days in advance when you are travelling. Alternatively they may be able to give you a debit card on the account which you can use at ATMs in Europe without exchange charges.
As the Pound and the Euro don't diverge a lot from each other (compared to the USD) just choose whichever currency you will make most use of, to simplify things.