Connector type for a plug-in short-circuit
What you want is called a jumper, or jumper link, or pin jumper, I've seen it called a lot of things.



Here is one from a quick search on digi-key. They're designed to short out two adjacent pins on a 0.1" (2.54 mm) pin header, such as this one.





If you want something that looks nicer, you can get one of these, which is designed to plug into two adjacent banana jacks and short them together. This one can also handle more current than the jumper.





And as one last thing, this is a shorting bar, or shorting link; you see them fairly often in multi-channel bench power supplies to short together two channels (for a bipolar supply, for example). They go around binding posts and are designed to hang from one of the binding posts when not in use, which helps with not losing them. This one, though, is more something you'd see in an electronics lab than in an end product.