It would be much appreciated if anyone would share insights regarding the below issue:
What type of cable/connectivity to use between EMC VNX 5200 and Server directly - without going through a SAN switch?
Depends on what type of IO Module(s) are installed in the VNX. Could be 1GbE, 10GbE, 2GbFC, 4GbFC, or 8GbFC, or 10GbFCoE. In any case you just need the matching card in the server and a cable appropriate for the medium.
The 1GbE or 10GbE would take a Cat5e or Cat6a cable respectively for the copper variants. The optical 10GbE would need a Ethernet card in the server that supports optical 10GbE, likely though a SFP+ module. The FC would take some kind of fiber cable, probably one with SC ends, but that depends on the HBA in the server. The FC HBA may need SFP+ modules as well, depending on the card. The FCoE is the hardest to HBA to come by. I only know of a few built into Blade servers, though there's probably standalone PCI card variants out there.
The Ethernet will auto "crossover" (really not technically correct, but same idea), including the FCoE. The FC will need both ends set to support Point to Point mode, see manuals/drivers for details.