We looked at OpenDNS last year and ended up going with WebTitan, I've been pretty happy with it so far. It is cloud based, but make sure you install the VM appliance they offer for free to help it sync with your AD to show what user is accessing the content. The cost of WebTitan was a whole lot less than OpenDNS for the same functionality.
We switched from a Barracuda appliance we had it each of our sites. It's nice to show all of our locations from a single console now.