As someone who while living in Vienna has been to both the Naitonal Bank of Austria and the US Consulate, I can confirm that is much easier and less stressful go get in and out of the former. . 

I understand that US Embassies have been and unfortunately still are a main target for terrorist attacks and precautionary measures are necessary, but I am afraid that if you guys get used to that much (from an European perspective - over the top) security everywhere, you'll become paranoid eventually which in turn is corrosive to society.