Cambio at the airport

Unless there is not alternative never use a cambio, you will get hosed on the exchange.

Timmac speaks the truth. The Casas de Cambio in the tourist cities and at the airports have some of the worst rates of exchange. However, there are exceptions. Along the border between Tijuana and San Diego, the competition among the Casas de Cambio is strong. You will get very good exchange rates if you snoop around. I don't know if this is true in other twin city areas such as El Paso / Ciudad Juarez.