If you can't find the Bilbao try Thoms Global Exchange on Victoria St:

http://www.thomasexchangeglobal.co.uk/

Their rates are very good.

Re ATMs it really depends on which debit card you have (DON'T use a credit card in ATMs).

I've also got a Nationwide debit card and have used it many times in the states. I have only been charged once by a US bank. Many US banks like Wells Fargo, Bank of America and others don't charge a fee.