Call me a spendthrift, but I've never understood the logic of spending thousands of dollars to have a relaxing vacation, including eating out at overpriced tourist restaurants, taking cabs when public transport or walking would suffice, etc., and then quibbling over having to pay an extra few bucks to change spending money somewhere conveniently located as opposed to somewhere that requires more effort. When I travel to foreign countries I use ATMs (so long as they don't look dodgy) and, yes, even airport exchanges. Sometimes I get pretty badly dinged, but I just put it behind me. I suppose if I were changing a large amount of cash--say, with the idea of covering all my expenses for multiple weeks in a pricey locale--I would be more concerned. But to pick up some spending cash for a one-week vacation on Cozumel, it's just not worth it to me to seek out the most economical exchange option.