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. 

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!