I use all of the following regularly:
Search ebay for "banana alligator" and expect to pay ~ $1.
Search ebay for "banana hook" and expect to pay < $2
Tip: the wire used on the above pre-made cables is usually garbage. You could buy the banana plugs, gator/croc clips, hook/grabbers, etc. separately and get some really nice flexible silicone wire and make your own that are much nicer. You can and should use stackable banana plugs (see below!) for extra versatility. You can also buy cables like the above with a BNC instead of banana plugs, but they aren't as useful as you might think... you should use proper probes with your scope.
Search ebay for "dupont F/F" and expect to pay < $2
These are available in various lengths, 10 cm and 20 cm are common and useful. You can peel off the number of wires you need, then super-glue the individual ends into whatever configuration you need (e.g. 1x5 for PIC programming, 2x3 for Atmel, etc.). Buy lots of these, and some 0.1" headers that they mate to.
I have several nice pomona brand banana cables, but I wanted some very short ones and decided to make them myself. I bought a pack of 25 banana plugs like these for $3.60 recently.
I pushed 20 A though a couple to test them and they performed well. Certainly not the best quality, but good, and very cheap. They are stackable end-to-end which is one of my requirements.
Here is the direct link to what I bought.