Tom Igoe developed a shield for arduino with an integrated mini-breadboard for prototyping
you can find it here
http://www.tigoe.net/pcomp/code/archives/arduino/000760.shtml#000760else you can put the Atmega8 standalone on a breadboard...without the board
http://www.arduino.cc/en/Main/StandaloneAssemblyso that you don't need any cable...
the beginning setup takes a little time but once you are done you can slide any component directly into the breadboard pin.
also look under the shields section...
http://www.arduino.cc/en/Main/ArduinoShieldsnot exactly what you are looking for but it can usefull

cheers
b.