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#000760
else you can put the Atmega8 standalone on a breadboard...without the boardhttp://www.arduino.cc/en/Main/StandaloneAssembly
so 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/ArduinoShields
not exactly what you are looking for but it can usefull