Recently we came across a currency exchange shop on the paseo in Marbella that seems to give consistently good exchange rates. Most times we have used their service the rate given has been within two to three cents of the spot rate on the iphone currency rate app and there is no commission charged on top.
Aguirre Travel are usually open between 10.00 and 16.30 but you can telephone them on 952 866 016 if you want to be sure that they are open before you set off.
They are located just east of the Marbella Cinema along the paseo, so quite easy to find !
This shop also offers excursions at good prices.