So, I just recently starting doing something that I haven't seen other people do when it comes to connecting one board to another.
Chris and Dave wasn't really specific about what kind of signals they wanted to connect between the boards, but here's my take at least..
I use PCI-Express sockets... They can easily do 25W or more (if you assign more pins to power), support hot-plugging (GND connects before VDD if you follow the official pinout), does multi-gigahertz signals without much cross-talk or attenuation.
Also, they're _cheap_. Not only do you only need one connector, as the male part of the board is "just" pads on a PCB, but the socket itself is only about $0.50 when buying them in quantities of _one_.
The 1X connectors (36 pin) are also reasonably small (for what they do).
The downside is of course (as Dave mentioned) that if someone would plug an actual PCI-Express device into them, all bets are off..
Here's one design I did with two PCI-Express 1X connectors. It's for evaluating different RF chips/standards, which are on separate boards that plug into this one. This way, the RF boards are much simpler to design and manufacture instead of having them on the same PCB as the other circuits. The PCB size is 10x5cm.
As you can see, the connectors are larger than some other connectors (aren't they always), but still manageable.