There are tons of them in Rio, and they often seem to pay a slightly better rate than ATMs, although this varies.

Rua Xavier da Silveira seems to have become Cambio Central, as there have been three on the block between NS de Copacabana and Ave. Atlāntica in the past, and now two more have opened up.

Competition is good. I walked into one and asked the rate, when I started to leave without exchanging dollars the agent upped his offer.

When exchanging money, check at a couple of different places. This is made much easier by the fact that there are 5 cambios in a single block.

Get your best deal and then see if Bobby at Blame It On Rio will beat it. He usually does.