Contact this guy on Etsy. He makes personalized beer mugs. I'm pretty sure he can order in shot glasses or martini glass for you at a better price and engrave it.
What if you just got shot glasses in a fun colour or pattern? Or your wedding colours? As a guest I'd be unlikely to take home (or use) glasses with your wedding name/date on them. It would be weird to pull them out after the wedding and use them with guests we were entertaining.
I agree with Naomi - I'm not a big fan of glassware or plateware as favours as I think that's more of a personal taste. However, that being said, I'm not sure how you want to personalize them - engraving? You can always check out places that do engraving - they may be able to give you a good deal.
I don't think she was asking us for our opinion about glassware as favors. Do as you want for your favors. Everybody will have an opinion about something but remember do your wedding as you want it done.
Re: where can I personalized glassware?