Here’s my take on a GPIO cable for the Raspberry Pi that can be used with solderless breadboards:

The cable uses a 26-way IDC header socket (available here in Australia from Jaycar, PS0987). I recycled the wire from a 40-pin hard drive cable I had in the junk box (with the 14 excess wires peeled off). You could just as easily use 26-way cable (such as Jaycar WM4504).

The other end of the cable is soldered to a piece of stripboard. A 26-way single-in-line header is soldered to the other end of the stripboard. This can be inserted into a breadboard for easy prototyping:

Superglue has been applied between the stripboard and the cable to provide some strain relief.