Looking at it again, Poland and the UK have exemptions, however when I checked earlier there were a couple of sites that disagreed with that. Better to be safe than sorry.
Same website as the link Jolly, different bit. Better to discuss in random, since it's close to going off-topic however in any case, the best rate (and the best way) is to do it by transfer via an established broker.
I recently had a large amount of cash confiscated by customs on arrival in another EU country, for failing to report it. I thought there were no limits on the amount of money I could carry around the EU.
You're right in principle - although you are obliged to declare large amounts of cash (or equivalent, such as travellers' cheques, promissory notes, monetary orders) to customs.
EU law still allows individual EU countries to have national cash control measures, provided they're not excessive, including obligatory declaration.
One of the main reasons is the public interest, especially public security - to combat money laundering and the financing of terrorism.