Breadboard type of connector
You can find these on the Digikey site under "Connectors -> Rectangular, headers, receptables, female sockets". At 45¢ the SAM1213-01-ND (tin finish) is not cheap, and the gold finish SAM1211-01-ND is even more than 1 dollar. That's right, that's for a single pin. I would recommend using longer rows as much as possible, since they're much cheaper per pin.