If you're not going to get direct-attach cables, then check out the stuff that 10gtek sells. In the 6->8+ months that I've been using them, I've not had any trouble with their short-range multi-mode SFP+ modules. Also, you can buy them for a little more than 10USD per module if you buy them in 2->10-packs from Newegg.
(And yeah, 10gtek is totally one of those "Direct from Shenzhen" companies that one might worry about buying from. I figured that 10gbit transceivers have been around for quite a while now, so there's no reason they should cost 80USD per, rolled the dice on two separate cheapo 10g transceiver manufacturers, and got lucky when the second (10gtek) turned out to ship a solid product that, like, actually worked and seems to work well.)