In finance, this is called "the carry trade"; borrowing in low yield currencies and investing in high yield currencies. Historically, this trade does pretty well and been weakly correlated to stocks, but it took a beating in 2009 along with everything else.
If you want to play it in an easy way, you can just buy the ETF "DBV", which engages in this strategy for you and frees you from having to pick individual currencies or open foreign bank accounts. It could be an interesting diversifier, but it's not too sexy in my opinion.