There is one other option though I personally have no experience of it and only read about it on Flyertalk - Kish Island, Iran. Its close to UAE, flights are cheap and I believe no Iranian visa is required. I hear it's one of these places that you go to experience but the attractions are not such that you want to go back repeatedly. and getting a flight may not be that easy. Many expats go there to renew their UAE visas.
There are inexpensive packages to Shiraz from UAE or Oman, which I hear is a place worth visiting. But then you do need an Iranian visa.
Just posting this for the sake of completeness.