As an example, I want a connector for connecting batteries to the board using 22-24 gauge wire. Would like to have some latching feature so it does not pull off easily. No harsh environment so it does not have to be water proof, high temperature or any of that. What would you recommend?
For this, I have been using JST XH series from eBay, where you can inexpensively buy sets of both the board connector and pre-crimped wires with the matching plug preattached. Note, however, that as Marius said, these are on 2.5mm pin spacing, wheras normal perfboard, DIP ICs, etc. are 2.54mm (0.1") spacing. So a 2-pin JST XH will fit fine, 3 will work too, but beyond that it can be problematic. Just a limitation to be aware of.
American connector vendors (Molex, Amphenol, etc) have similar products in 0.1" spacing, like the Molex KK that ahbushnell recommended. Certainly a good option, too.
Other than that, for this type of low-voltage stuff, I use regular pin headers and "dupont" connectors all the time. (That's what eBay calls them. Legit distributors like Digi-Key use actual manufacturer designations of course, and just call them "headers" generically.) I always have male headers around in both straight and right-angle, and in single and double-row (though I use single row 99% of the time). The disadvantage to these is that the wire connectors are quite tall. JST, KK, etc are lower profile.
For thicker leads, so far I've just been using PCB-mount screw terminals. But there are connector series for these applications, too.
One downside to all these connector types is that most of them crimp to the wires, so you end up needing a stable of crimp tools, which gets spectacularly expensive if you use the name-brand tools.

(I've stuck with cheap ebay crimp tools, which vary from OK to uselessly bad.)