doing it with a bank is pain, no way to avoid filling out forms and loosing a lot of money in conversion... financieras are better, I found one that charges 1.2% and I get the money with 1 day. The problem is that you really have to trust them. Moneygram is better than western union, but if you go over $2,000 US, forget it, you will be filling out the same forms as the bank and getting asked lots of questions. If you are buying property, the best solution is to send the money from the US to a "normal" country.
Banco Piano transfers are easier (but still expensive). You can also cash US checks at Banco Piano (their rates recently went up). Still, after a few transfers, they will want you to fill out paperwork and explain where the money is coming from. If it is a one or two time operation, always say "Ayuda familiar"