I do this, too. The exchange rate seems to be the best and as long as you use a safe location, you should be fine. I'd avoid street ATMs, though. Also, if I can afford to, I just take out a bigger chunk at once. the fee is the same if you take out 20 or 200 Euros. My check airman on OE told me that some guys get a separate account and just put a little cash in there for their trips. That way, if the card is compromised, it won't drain their account.

In Europe, I plan on just taking cash with me when I go out and a photo copy of my driver's license.

Also, if you do pay by credit card, a lot of places will ask you if you want your transaction in US dollars or local currency. Always do local currency because you don't know what kind of exchange rate the merchant is charging you!