So if my bank is on the banned list on bitstamp I can't withdraw/deposit any money with SEPA?
In short: yes, you're stuck (you can always try to call them or drop by in person at your local branch, see if if changes things).
Is there other options / other good exchange for bitcoins or do I need to change banks?
There are other exchanges like mtgox.com or btc-e.com or alternatives like localbitcoins.com and #bitcoin-otc (IRC channel).
Mtgox is a pain to get your money from though and BTC-E you're not sure it will (always) get there.

It's probably a good idea to open an account in another bank anyway. Usually, smaller banks are less picky (YMMV).