To go from pin headers, a male servo connector gives you up to 3 pins on .1" centers (in radio control parlance, the male connector is the one that the pins go into, the female is the one with the pins - it generally has a shroud, so the gender is based on the plug body function not the pins). A standard servo extension, with the shroud pulled off, gives you a 3-pin colour coded cable for going from pin header to breadboard.
Also, Parallax makes a cable, the LCD Extension cable
http://parallax.com/Store/Accessories/CablesConverters/tabid/166/List/0/CategoryID/40/Level/a/Default.aspx?SortField=ProductName,ProductName
that gives you a "male" (that anyone else would call a female) on each end, and a gender changer for one end. Having a few of these in your kit is pretty darned handy.
Remember, there is no requirement you use all 3 wires (the other 2 can just be for stability).
And, you can buy the connectors to roll your own from your local hobby store or various on-line hobby suppliers. Just remember the backwards naming convention when ordering. When shopping fro a brand, the ones designated for "JR/Universal" plugs are the easiest to deal with (Futaba have a polarity key tab that can get in the way).
US Suppliers include Tower Hobbies - one connector here:
http://www3.towerhobbies.com/cgi-bin/wti0001p?&I=LXTSH5&P=7
and Dymond RC
http://www.rc-dymond.com/index.php?categoryID=36
Interestingly, if you go to a hobby store and ask for a M/M (what we would call a F/F), they will look at you like you are fresh off the shuttle from Alpha Centauri. No such thing exists in the R/C world, unless you roll you own, and why would you ever want to? But, as noted above, Parallax sells a MM and FF as a set. I found a bunch of the MM (again, what we would call FF) at Tanner Electronics on closeout once for USD$1 each. Yep, bought a couple of dozen.
They also act as an adapter for the Vex Robotics servos/motors to operate on regular old hobby RC equipment.
Cheers,
Wreno