Ok. I've just started with Arduino and I have bought the Adafruit Max4466 Microphone with Adjustable Gain.
It obviously has three holes for OUTPUT, GND and VCC(Power). Since I dont have a soldering iron yet, I wanted to know if i can just test the microphone with the breadboard and three loose pins stuck into the holes (see picture).
This is obviously a loose connection and I wanted to know if that can damage any of the electronics, or if I will just get some faulty values.
Thanks in advance
It probably will not damage anything but your sanity trying to get it to work.
Now get out, get to your local hardware shop, and get yourself a soldering iron. 25-40W will do fine, temperature controlled and all is of course best.
You are not likely to damage anything but you will not get reliable results, if any
Imagine if the question were "the nut holding on my car steering wheel is loose, will it affect my ability to drive it ?"
For a three pin connection it will work if you wedge something rubbery under the microphone module such as to make it twist upwards and hold contact with the header pins.
Your question is the opposite - every so often we try and assist someone with an extremely puzzling problem until a photograph reveals they are trying to use a 28 pin module sitting on pin headers on a breadboard and most are as you would expect, making no connection. In your case with three pins, it generally will work if you apply consistent pressure. 
Update:
Went to the Hardware Store, got a 15W soldering iron + some soldering tin for 30 Euros. Soldered it like I learned it in school. Works like a charm now. Thanks for your reassurance though.
Well done!
brateboi:
Soldered it like I learned it in school. Works like a charm now. Thanks for your reassurance though.
That's some decent school! 
Loose connections are not bad for testing, they just give you unreliable and inconsistent results. Maybe if you have a bad connection it may destroy a part or two. With that known up front why bother testing? This response is to help you get started in solving your problem, not solve it for you.
Good Luck & Have Fun!
Gil
It works great for a successful test - not so much when it doesn't work. Thus it's only a kind of triage - if you did this to find bad boards, you would have to pile up the failures and test them again with some more solid connection method.
