All these kits you can buy for arduino come with "jumper wires" which are great for connecting a pin on the arduino to a breadboard. But "pin" on arduino is the wrong word since it's a female part. The "jumper wires" are male on both sides. What about the times where you want to connect a pin from say, the Motor Shield to some other pin? I would need a female to female jumper wire. Do those exist?
I found the same wires at Deal Extreme. Advantage of these wires in contrast to the male-male-jumper-wires I obtained is that they fit a 0.1" grid perfectly. I pushed couple of pins from a header, and push a single pin in one end of the cable. That way you get a perfect male to female jumper cable.
In addition to these female/female jumper wires, another technology to be aware of is wire wrap.
Originally this was intended for interconnecting special sockets with extra-long square pins, however you can easily make one wrap connection to normal square headers, and somewhat more carefully do so to round component pins.
Wire wrap wire does tend to be fragile and take a little longer to connect than the jumpers, however the result can be neater, and the wire is also better for soldering directly to small surface mount parts when a signal you need is not broken out to a header.
Radio Shack still carries wire wrap tools and wire; they may not have the sockets anymore and I'd be surprised if very many are still doing full fledged wire wrap assemblies, so I suspect many others are aware of this secondary use. Be careful not to loose the little wire stripper that stores in the wrap tool handle - the wire is hard to strip without breaking without that.