What do you mean by "two PCBs", are they stacked boards in an assembly? Different PCBs inside a common enclosure? Completely separate projects?
In the first case, plain headers are fine, even for high speed.
In the second case, the aforementioned Dupont style (or Molex SL, or...) is fine; a shielded cable is greatly preferred, but the shield termination into the connector probably doesn't need to be too tight.
In the third case, fully shielded connectors and cable should be used.
Note that hybrid cases are common: a PC might have #2's solution from the motherboard to a front panel connector (which is grounded to the metal chassis), then #3's solution to the outside world (regular USB cables and devices). The key is having ground planes available for shielding. (The assumption in #1's solution, is that the boards are both ground plane based designs, and the headers have multiple ground pins to ensure those grounds are well bonded through the connector.)
Tim