The best way to buy euros is to open a foreign bank account. You don’t always have to visit in person, but if you open an account in most European countries you will have to. Try Panama, the Caymans or St. Kitts. The transaction fee should be very low, and you can “purchase” in any quantity you want. Additionally, an offshore account is a great thing to have, now more than ever. American banks are now shakier than a hooker in church, and I fear that exchange controls in the not-so-distant future.