Screw terminal blocks are the devil.
0.1" headers, like the ones used on the Arduino board itself, are a fine choice. They are available in a wide variety of styles -- personally, I like the shrouded ones with the alignment keys, either with or without the locking ears.
My favorite connector for general hacking is, however, the humble d-sub. Standard and high-density d-subs are rated for 5A per pin, and come in sizes from 9 pins to 78 pins. Mixed-signal d-subs can include high current contacts rated up to 40A, coax contacts, and 3kV high voltage contacts. They are available in every grade from the cheapest IDC off-brand crap to environmentally sealed & EMI filtered gold-plated mil-spec hawtness. Jumper wires for 0.1" headers will fit on standard and high-density d-sub pins for easy commonality during debugging.