Sorry but I just have to add my 20 Baht's worth to the discussion. I was in Thailand in March 04 so recent experiences.
Banks have variable exchange rates and usually shown on a board outside, different banks have different rates. You get more Baht for Travellers chq's than you do for cash and it can be significant 2-6 baht per dollar. Charges 23 baht to change TC so about 50 cents US or 70 cents for the Aussies. I used Amex TC and had no problems but you do need your passport with you to cash them and COUNT the money you are given.
Money changes look around for the different rates, again TC rates better than cash. The airport Money changes and banks were about 2-5 baht lower than the city ones so only change a smaller amount.
Hotel money changes - use only if desperate their rates suck! Also noted that MC around expensive hotels were not a lot better.
Cash US$ or A$ found was accepted but not for small purchases and not generally outside the main tourist places and rates sucked
ATM they are everywhere and very useful - to answer BillT ? They are about the same but I get charged fees so didn?t use them a lot. I checked 2 transactions against the bank rates on the board and it was slightly different and I also got caught because it took 2 days to process to my bank and the rates changed - I don?t now why it took two days.
Travellers Cheques I like them I don?t pay fees so a little bias their. I took Australian $ and then cashed them paid 23 baht in fees per chq - cost of about half a beer
Best deal I got - the money changer at the MRT station outside the MBK shopping centre - i.e. find the deals where you can.
FYI
If US$1 = 39.6033 baht and the rate moves 10% then US$1 = 35.643 or 43.56
So changing US$100 the variance would be approx 792 baht about 2-3 tee shirts worth and the rates haven?t moved 10% in a month since I have been dealing with them so around 20 years. Mostly they move a cent or 2 max.
My advise have a good holiday have a beer [it?s cheap] and don?t stress on the little things there is far more to see and do.