Can't help you with Cala D'Or, although I'm sure there will be Cambio Offices on the main street, but the exchange rate in Magalluf at the moment is 1.445, Sterling to Euros, no commission.
Yes they are sort of travel agents cum Bureau de Change offices - all resorts have them, but you do find the rates vary from office to office and resort to resort. Take a few euros with you so you don't take the first rate you find.
If you have an Abbey National bank account, then you should use the Bank of Santandar as it doesnt charge for currency withdrawals from its ATM machines with Abbey cards - it owns Abbey. This applies throughout the island.