If you are willing to do the grunt work, check out Lightning Source (http://www.lightningsource.com/) and/or CreateSpace (http://www.createspace.com/) by Amazon.
Lightning Source is one of the cheapest I have found online when I was searching for such a solution about a year ago, and I believe Amazon's CreateSpace actually uses them for their printing services (not 100% sure). The advantage with Lightning Source is that they are the ones who actually DO the printing. However, you will have to call them up and talk with them to get them to work with you — I have done this and they setup an account for me, but I have yet to print anything.
CreateSpace, on the other hand, is from Amazon. They will print out your documents for you, and I assume they act as the "middle man" for Lightning Source. It is slightly more expensive, but I believe it is cheaper than Lulu. They also offer a little more help for getting through the process.
However, if you want some help along the way, the only suggestion I can make is Lulu. You will pay, but it is well worth it.