We recently had the same dilemma, we found the independents are very competitive especially on transactions over a � 1000.00 Do you have a Mastercheque, or Cashing cheques, outlet they are well worth a shout.
If you are taking over �500 in euros, the best place to look at are travel agents such as Thomson. The rate is usually posted in the shop window. Also if taking sterling you can exchange at many places,not banks, with no commission, at good rates when you arrive at your destination. I suppose it depend where you are going.