Whatever you use, remember that you will only have ONE hand to disconnect it with.
Molex connectors, and such don't work very well.
You really need something that wall mounts, and has the cable coming out of it--which is why I chose Cat5 cables.
Alternately, the "spring pin" connectors are a workable, but really expensive, solution.
I was using 9-pin (Atari/Sega style) pigtail connectors on my original CP's, and they were a pain in the butt to connect/disconnect because you had to balance the CP perfectly, so that you could reach in with both hands to work with them.
They would have worked OK if I'd mounted the male connectors into the back wall of the CP box though.