Well, you can try your local bank (Bank of America, Wachovia, Sun Trust, or any other high-name-prestigue bank) be aware that their exchange rates are picky, in order for them to make a profit.

You can try also the airport, there are several places where you can exchange them, or finally if you can’t, try eBay, you can sell your Euros, and the buyers pay really well… only for Euros though, not sure with italian lires.