Windows Failover Cluster for MSMQ without SAN?

Shared disk of some sort is required for the disks that the MSMQ data will be stored on.

The cost of the SAN isn't the main issue -- it's rather the fact that the SAN becomes a single point of failure.

SANs aren't really considered a single point of failure. They have redundant controllers, redundant paths from the server to the SAN, redundant paths from the controllers to the spindles. If spindle failure is an issue you can clone the LUN to a second set of disks for maximum redundancy. If you have a second array you can even replicate from one array to another.

Most storage arrays are designed for 99.999% uptime if not more. Some are designed for 99.9999% uptime and some can provide even more uptime than that.