When you travel you need money. Traditionally people would buy travelers cheques but that was before the magic ATM or credit card which gives you almost universal access to your money for a fee. Some people still feel that an emergency travel check supply is still a good idea as sometimes there will be bank holidays or ATM breakdowns etc. 

It makes a lot of sense if you are visiting a country for a while say a few weeks or months to open a local bank account. Thousands of Canadians have accounts in US banks. Many European banks do not charge ATM fees for their accounts. If you use a local bank account you avoid getting screwed on the foreign exchange. You will find that sometimes there are restrictions for foreigners opening bank accounts. 

Combined with a local bank and internet access you can sometimes transfer funds around all online. That can be very useful at times. 

Consider your options ahead of time because the way you manage your funds could save you significant fees.

Also and this may not be as obvious at first but if you set the bar high and insist on staying only in better places and doing expensive things then your travel budget needs to be much higher even to the point of you going into severe debt or not going at all. If you lower your standards somewhat you can still have a surprising amount of fun and enjoy your life more too. It might even be a good time to go on a diet and get fit.  

Links

Rick Steves - Money 101 - excellent article about using atm cards and credit cards in Europe and the best methods to use each

ATM Locations in Europe  -links to finding ATMs in Europe and fees charged

Exchanging Money on a Budget -comments from travellors regarding their experiences and suggestions on exchanging money -excellent ideas!