I like the crimp terminals & 0.1" housings that pololu.com carries.
housings, many options
http://www.pololu.com/catalog/product/1903
crimp terminated wires - male-male, female-female, male-femalte
http://www.pololu.com/catalog/product/1801
male or female pins for making your own wires
http://www.pololu.com/catalog/product/1930