THey probably have different names but I call em Female Header Connectors. And when you buy them they come with the individual metal connectors separate from the plastic bit. You then attach your wires and then slot the connectors into the plastic bit. Pretty easy - did a bunch this last week.
I got the following equipment, and it seems to work reasonably well to create the ends... (it may be me just struggling that keeps it from working great)
I'm pretty sure that is the same connector used on hobby servos--at least the three-pin variety. Judging by some of the other posts here, it looks like you might be after the white connector. Aside from that, the black connectors can be found here:http://futurlec.com/ConnHead.shtml.
I buy EVERYTHING from futurlec. I've seen some bad reviews for them, but it's all just impatient buyers waiting for their parts to come from Thailand by post. It is far and away the cheapest supplier of electronics goodies I have ever seen. They don't have minimum order quantities either. So with $50(including shipping), I completely stocked my inventory with everything from resistors, caps(ceramic and electrolytic), inductors, and relays to logic/special function IC's... 100LEDs for $5.. 300 1/4Watt resistors $3... http://www.futurlec.com/ValuePacks.shtml..
Now I'd like to clarify--I don't work for them or anything. I'm just a hobbyist that can't afford to pay for over priced supplies.
I fly Radio Control planes and can confirm those connectors are the same as most common hobby servos. Any good hobby dealer will stock them. I have a crimper bought at Radio Shack that does a great job with the contacts pins.