I also tend to use the Molex pin&socket series connectors, though for more signal type stuff like my CP, I use the smaller .062" series. Radio Shack (sometimes) has the larger .093 series which I use for more power oriented applications. A major factor here is just that they're easy to acquire. The larger stuff can be had at Radio Shack, and I can buy the smaller series at Fry's - no need to mail order or drive down to my local electronics warehouse.
There are some other good options out there. Inline plug/socket circular DIN and Mini-DIN work OK. I use a 7 contact mini-DIN for internally connecting up playstation stuff (since I end up doing tons of playstation junk).
The various AMP Mate-n-lok series work well, also as do the Molex Mini-Fit series (which are very similar and in some cases identical). A member of these series from each company is the connector used for ATX power on motherboards.