The best rate by far is to use the ATM machines just like you would at home. I was always pleasantly surprised when I returned home to find that the rate I got was far better than I could have got anywhere in Cancun. Now that I live here but still partially bank in England I still use the ATM. Check with your bank before you go regarding charges, but bear in mind that you will avoid the commission charges and/or reduced rate that you will find in Cancun.
ATM machines are located everywhere, most of the large hotels will even have their own. In some places, however, they are not filled as regularly as they could be and you may find that they have run out of money.
Since July 2004 the ATM machine will tell you that there is a charge for using them, however, I am pretty sure that if you are withdrawing from a non Mexican bank account you will not be charged, at least my UK bank account has never shown the charge. Some of the ATM’s inside hotels and convenience stores do charge (for the benefit of the store/hotel owner), so I would stick to ATM’s provided by banks or large supermarkets.
One more tip, downtown many of the ATM machines will only dispense 3,000 pesos at a time. If you need more than this then simply put your card in again and, providing your home bank daily withdrawal amount is not reached, then you will be able to get more cash. In the Hotel Zone many of the machines allow a 5,000 peso withdrawal in one go, and some (but not all) will offer an option to withdraw your money in US Dollars.
If you do decide to use travelers checks then bear in mind you will normally be asked for photo ID so you will need to take your drivers license or passport with you, they can often be finicky about signatures not being 100% identical too. Remember, that having already paid commission to obtain the travelers checks in the first place you will then have to pay commission again to change them. As long as you have somewhere safe to keep your money, like a hotel safe, I think it’s better to change a large amount infrequently rather than little and often, you can then avoid the time and cost going to the places that offer the best rate.
It has often been said that Cancun airport, surprisingly, offers a good rate. The problem here is that until you’ve had chance to check out the alternatives you have nothing to compare against. I’d tend to steer clear of changing money at the airport unless you are well aware of the rates in Cancun.
The best place to change travelers checks (does anyone still use those?) is at a money exchange place or ‘Cambio’ in downtown Cancun. The Cambio’s in the hotel zone normally offer an inferior rate but may be more convenient, there are many of these in the main shopping areas. Your hotel probably offers the worst rate going, however, they are convenient and you may not feel it worth the effort of a bus ride in to town to make a few extra dollars as you may have better things to do!