Below is some information I've collected over the years from CD threads and hours of searching all the major electronics part distributors. I've been using the Multicomp parts from Newark. They're cheap even in small quantities, and I've had great experiences with Newark, from searching for parts to shipping. However, they only seem to have the female pins - okay for sensors, but a deal-breaker if you're trying to make whole cables.
2226A-03 - 3-terminal housing
2226TG - Female crimp terminal
I've also had good experiences with Hansen Hobbies. Their deal is hard to beat if you're just getting started. But once you have the crimper, you'll likely do better if you just order the stuff you need.
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Whole cables available from top_racing2007 Ebay store in bulk, < $1 each.
http://www.dealextreme.com/details.dx/sku.11986 10-pack for $6, free shipping
Molex SL series
Mouser part # / Molex part #
538-16-02-0114 / 16-02-0114 - Male pins, tin ($0.09 each)
538-16-02-1114 / 16-02-1114 - Female pins, tin ($0.12 each)
538-50-57-9003 / 50-57-9003 - 3-terminal housings ($1.02 each)
538-50-57-9005 / 50-57-9005- 5-terminal housings ($0.77 each)
Molex parts
16-02-0115 - Male pins, gold plated ($0.30 each)
16-02-1115 - Female pins, gold plated ($0.22 each)
Jameco
157383 - 3-terminal housing
163686 - 5-terminal housing
100766 - Female pins ($0.15 each)
145358 - Male pins
Harwin
M20-1060300 - 3-terminal housing ($0.10 each)
M20-1060500 - 5-terminal housing ($0.13 each)
M20-1060800 - 8-terminal housing ($0.18 each)
M20-118/M20-116 - Female crimp terminals ($5.73 per 100 for tin, $6.09 per 100 for gold plated)
Apparently they don't make male crimp terminals.
Multicomp (Newark/Farnell brand)
2226A-03 - 3-terminal housing ($0.018 each)
2226A-05 - 5-terminal housing ($0.025 each)
2226A-08 - 8-terminal housing ($0.067 each)
2226TG - Female crimp terminal ($0.021 each for gold plated)