A low insertion force connection would be great. Something that could be actually be attached to the CP so that you didn't have to grab a bunch of wires would be great (like a nintendo cartridge, )
Other than that, something around 18 -21 guage would be the best. I usually use 18 guage for the 5 volt and grounds and 21 for everything else. I know a lot of other people that use 23 or 25 for all of it though. As many different colors of wire as you can find would be good, too, for easier identification of course.
If the part that attached to a CP was cheap (the part that you need to buy a lot of), it would definitely help your sales.
A 2 player setup would need about 37 wires max.
A 4 player setup could require about double that, if the user has a frankenpanel. Chances are, though, they would not be using swappable panels, so the point is somewhat moot.