For those of you in Houston, if you want to give sweetbreads a go, El Tiempo Cantina serves them as an appetizer.
If you like cooking, you can get them at Fiesta or 99 Ranch Market. The great thing about buying offal is it's cheap. If you think it taste like ass, you can always throw it in the garbage, and it'll have cost you less than $10.
The only expensive organ meat, at least in the greater Houston area, is tongue. Tongue really needs to be cooked in an instant pot, or simmered for HOURS on the stove top. When I go to actual Mexican restaurants (real taquerias), tongue is about the only thing I order. You just can't get it anywhere else.