For my prototyping, I use a combination of things; I will typically start out with my "straight-and-bent" prototyping wire kits (solid core, different lengths and colors, 90-degree bends at the ends for the part you put in the breadboard), then once I run out of those, I will use my "junk wire" (more on that in a bit).
I have been thinking of picking up some of the cheapo flexible wires with pin ends to try them out (I have heard, though, that the solder joint inside the pin connector is flimsy and can break, causing intermittent connections). I also use alligator clip leads on certain parts (mainly TO-3 case devices - on a current 2N3055 h-bridge I am working on, I need them to hook to the collectors).
So far, though, the "best" in terms of price-performance has been my "junk wire":
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24 AWG multi-conductor solid wire
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Some larger gauge (probably 18-22 AWG) two strand twisted telephone wire
Basically, the first option is either old CAT5 (4 twisted pairs, 8 wires) I get here and there (in many cases, you can get hundreds of feet free if you know who to talk to and where to look - old office tear-outs are great), or many conductor (24?) telephone wire; personally, I like the telephone wire better, many more colors - but you get what you can get!
The second option come from a couple of rolls of telephone hookup wire I bought from some guy a long time ago at a 2600 meeting; I paid maybe $5.00 for both rolls. It has two conductors loosely twisted together (one white, the other purple), and was used for connections on punch-down blocks and such in telephone wiring. Its really multi-purpose (I once made coils for a simplistic coil-gun demonstrator project once with it); its thicker gauge fits into breadboard holes better, but its lack of multiple colors means a breadboard made exclusively with it can be confusing (so I try not to do that!).
The most bang-for-yer-buck can be had with the multi-conductor, multi-color, solid-core telephone cable; if you can find that cheap per foot (say a dollar or two), you can buy 20 feet, strip the outer cladding off, then use a pair of wire dikes to cut it to the lengths you want. You'll never run out (or at least it will seem that way). The next best is the CAT5 cable.
