I prefer exchanging Euros into Peruvian currency rather than USD but I have a couple of questions;

1. Are commissions higher on exchanging Euros than USD?

2. Will I have problems trying to exchange 500 Euro bills?

thanks in advance.

Dollars are far more admitted in Peru than euros. I mean you can pay at markets and restaurants with dollars. Euros are not that accepted, but I think money exchange locations accept euros (in Miraflores, in Tarata street there is a m.e. that accept euros and money from other south american countries).
I have not heard about a 500 euros bills restrictions, or 100 bollar bills, in banks and m.e. But usually they don't accept 100 dollar bills at restaurants.

Just in case if you have problems changing euros at money exchages or your hotel, go to Banco de Credito, there are several branches that accept euros:

Lima:
Miraflores - Esquina Av. Larco
San Isidro - Juan de Arona 893 Esquina con Rivera Navarrete
Lima downtown - Jr. Lampa 499 esquina con Ucayali
Plaza San Mart�n (Lima downtown) - Jr. Oco�a 102

Cusco: Av. El Sol 189, Cusco

I don't know about comissions, I guess there shouldn't be a high difference, but not sure.

The comissions for euros are higher. Typical comissions for USD are max 1% and for euros 4-5%. Instead of carrying euros, you might want to use Visa/Mastercard at ATMs as the cost is quite the same. Most recommendable ATMs with foreign cards are Scotiabank (they permit withdrawals of up 2000 PEN/transaction), Banco Continental and Banco de Credito (also known as BCP). Try to avoid Interbank/Globalnet as they have surcharges for foreign cards. You should be able to find ATMs if every town with at least 50,000 inhabitants.

Don't forget to carry small bills and coins with you as getting change even for 20 soles is sometimes complicated (eg taxis and small stores quite don't have change). You should have a couple of 50-100 euros/USD bills with you just in case you have to change money in small towns like Aguas Calientes or street corners. Especially outside Lima, the lines at banks can be quite long so most likely you will end up using informal cambistas and you might feel unsafe with big bills. Small US bills (max 20 USD) are almost as widely accepted in Peru as soles.