Foreign Money Exchange (FME) is the only place that I'll go to exchange my U.S. dolla-dolla billz into Euros and vice versa. Their exchange rate typically beats out the banks and those foreign currency stands inside The Fashion Show Mall that's less than a mile away.
FME is located within an office building in somewhat of a sketchy area that's down the road from the Las Vegas Convention Center, but don't let the surroundings steer you away from this place. Security guards do patrol the premises.
The parking situation isn't the best (small, dark garage), so it might be ideal to park across the street and cross on over.
Despite the cons I noted about FME, from my experience they've always offered the best exchange rates in town.