Which GPRS module to use?

Hi everyone,

I'm searching for a GSM/GPRS module (possibly with GPS too) that I can use to create TCP/IP connections. Looking for a combo of module + shield seems a bit expensive (usually > U$ 60). As most of the cheap cellphones are about this price and probably have their modules in smaller size, the prices seems a little odd to me.

Anyway, I was thinking if it is too difficult to interface with a GPRS module without using a shield (they are considerably cheaper). Is it worth the time, or should I use a shield while prototyping and then if one day I want to produce something more professional, use the GPRS module directly?