Well it depends on how many connections you want, what voltage, current and how fast it'll be spinning.
I recently tried to get some mercotac rotating electrical connector samples (for mains voltage) and I was told I would have to purchase them but they could tell me the price for one. ~£120 each!.
People have made their own, occasionally using audio jacks or by thick washers etc.
It's not easy though.
Normally easier to mount a battery and the whole unit in the rotating thing!
Mowcius