I've seen wall plates that have 2-4 (single or double-gang) keystone openings at the top and then a pass-through at the bottom. You could "properly" terminate your data/cable lines and run HDMI, DVI, etc. through the pass-through. I don't remember where I saw them, though. I know wall plates with HDMI female-female built-in connectors are also available (so you run a cable between both wall terminations and then run a cable from each termination to the corresponding equipment), but I don't know if I've seen them with keystones in the same plate.
If you do want to make short-ish patch cables, you can get bulk stranded CAT5e/6 cable. If you do everything properly, it should be fine. The "pros" will test it, of course, but you probably don't want to buy all the test gear. I don't think any of the big box stores stock it. Monoprice might sell it. I get most of this stuff from
http://www.cablemaster.com/ but mostly because they're local to me. Don't trust the prices on their website too much; if you call them, they'll give you some sort of discount most likely. I've had an account there for quite some time so, while my volume isn't that high, they at least give me a nod and a reasonable discount on things.
You can also get those 8P8C connectors intended for solid wire and do what you're describing with decent reliability, but I'm not sure if they're available in the "EZ" system or not.
Also, make sure any cable you're running directly in-wall (not in conduit) is rated for such use. In residential, it varies as to whether the local inspector cares. In commercial, they definitely do. I always just buy riser rated cable since it's not really any more expensive than general-use in-wall rated cable and, well, can be used in risers. Plenum rated cable is pricey for sure, but you don't need it unless you're running through plenums (spaces actively moving conditioned or return air), and, again, your local inspector may not care in residential, anyway.
Personally, I love conduit. If you happen to have the walls open, you might consider running ENT ("smurf tube" because it's blue) or something like it. For comm, which doesn't need the same fire ratings as power, I usually use 1" corrugated innerduct type conduit. The stuff I get from Cable Master has a nice pull string which saves you the headache of fishing one through.