Coplanar PCB interconnect solutions - As cheap as possible
Those header connectors are the cheapest form of connector you can find, which means that the only other solution you have is to use no connector at all.

Below here I show an example of mating of two boards just by using the pressure of the mounting screws.
 The bumps could be provided by solder, for which you would have to find a method of obtaining a consistent height of the bumps, or alternatively solder a form of spring, which would ensure a good contact, such as the ones used in smartphones to connect different PCBs.

Some of these contact can be found on Digikey, but I imagine other vendors offer them as well. 

Don't forget that for this kind of mating, you will need a relatively thick PCB in order not to flex under the mechanical pressure of the contacts.