We ususally use FASTON connectors. They come in male, and female units that allow you to quickly connect, and disconnect them. All you have to do is strip the wire, and crimp them on. Make sure you have a good crimping tool so you get a solid connection. If you crimp them right, they'll never fall off. Ours never did. Give them a nice tug to make sure they won't fall off.
The one's in the picture below are uninsulated. Don't buy those, but the picture is merely an example. They make connectors that have a plastic housing around them.
Make sure to have the proper guage FASTON connector for the wire guage you are using. They are usually color-coded.
The best part is that these can be found at any Home Depot, Lowes, Ace, or TrueValue hardware store.
Picture complements of
Tyco Electronics.