ATMs at the airport are numerous and easy to find. In Thailand, ATMs give you a better exchange rate than changing cash, especially for less-popular currencies like NZD. However, you need to be aware of the fees your home bank may charge (fixed fee + percent commission). On top of this, almost all ATMs in Thailand charge an additional 150 THB fee for international transactions, so it's better to withdraw larger amounts. Citibank ATMs near Asoke/Sukhumwit BTS Skytrain station do not charge the 150 baht fee (as of Jan 2012).
Second best is probably changing cash to THB in Thailand. Rates at the Bangkok airport are reasonable, but some places in the city offer better rates.
Exchange rates for THB in your home country are probably significantly worse than in Thailand (due to currency export controls).