I'll throw in a good word for World First, too. I think Taffy recommended it to Koko, who in turn recommended it to me ... so a lot of us here have experience with them.
We used them for our first--and so far only--transaction because you can transfer up to 25K NZD completely on-line without any additional paperwork. Beyond that amount requires signed forms, etc. etc.
I found them to be very professional and helpful. I'd never done an international currency exchange before and also had some questions about which number when exactly where on the on-line account information forms. They answered all my questions in a very timely fashion and the whole transaction went smoothly and according to the timetable they laid out.
Of course, it then took Westpac 2 days to credit my account, but that's another issue entirely.
FWIW, we didn't open an account before arriving here. I'm not sure what advantage is to be gained by going through the hassle of opening an account from a distance. We simply brought over a stack of traveler's cheques and cash, brought them and our passports to Westpac, and had an account within the day.