You want to match the impedance of the cable/connector to whatever your equipment is. Most test equipment is 50ohm, so that's the stuff you probably want to stock. Also stay away from cheap solid conductor BNC cables. I'm not talking rigid cable, I'm talking cheap BNC-BNC that use solid conductor instead of stranded to save money. You end up bending general use BNC cables way too much to have solid conductors.
Along with BNC-BNC cables and a lot of clip/banana/alligator leads, at least a couple of each BNC adapter is a really handy thing to have around the lab.
1) BNC T connectors - you want a bunch of these. One almost always lives on my function generator output splitting the signal to a scope input and DUT. Most of them should be BNC male on the bottom and BNC female on the sides of the T, but you should have at least one of all configurations.
2) BNC female to banana male. You use these all the time for meters. Get a bunch.
3) BNC male to banana female (with binding posts). Useful for hooking banana cables to function gen or anything else that only has BNC female on it. Probably just a couple of these would do.
4) BNC to SMA ... optional but cool
Nice to have if you ever need to adapt some RF stuff.
5) Right angle BNC and BNC gender changers. I find myself just using Ts most of the time, but if you really wanted to keep the noise down, you probably want some of these too.
6) 50ohm BNC terminators. Get a few of these, just be aware of the wattage rating.