Machine pin headers don't get enough attention. They're so much better than traditional headers and yet you don't see them very often. I suspect the reason is because they don't work with breadboards but that's really their only downside!

UPDATE: They actually can work OK with breadboards but there's several considerations. See my followup video that examines the breadboard issue in detail:    • The Problem with Machine Pin Headers ...  

Machine pin headers (aka Swiss or "round" headers) can be used as cuttolength IC sockets, you can color them (the white ones anyway), and they can be used as quickrelease, vibrationproof connectors. What's not to love?

You can buy a 10pack of 40row female machine pin headers for ~$6.50 (shipped) here:

http://www.ebay.com/itm/10FEMALEWHI...

(Note: I have no affiliation with that eBay seller; it's where I got my headers)