No double currency risk if buying in US exchange via Aus broker but if you're buying any of the Vanguard ETFs listed on the ASX there is as you'll be buying/selling in AUDs.

Is the death tax on $60k+ an Oz tax? Bit scary. Key is whether it applies to non-residents. The other thing I need to check is whether the Aussies have a FIF tax and how this would affect NZers buying US shares via an Oz broker (ie custodial).