I prefer a cbu. You want to install a vapor barrier behind it, since, while cbu won't be impacted by moisture, it can pass it into the walls, thus the moisture barrier. Essentially near the ceiling should keep the register okay.
There's a company that makes a neat floor register that can be tiled which may be a good solution for you - I think it would also work well in the wall. I thought I had the site bookmarked, but you should be able to find it with a Google search. For some good help on tiling, check out www.johnbridge.com.