Seeed Studio has a new Bus Pirate probe cable in stock. It has female pins instead of clips, and the wire is thicker and higher-quality.
We prefer the female pins for plugging into pin headers on dev-boards. To interface another female header, like the Arduino, just pop a male header in between. Best of all, there’s a variety of high quality test hooks that you can add to the cable.
The new probe cable is available for $5,95.