For wire, I use mil-spec M22759/16 for just about everything that's being made from scratch and not using a manufacturer's flying lead. It's commonly referred to as Tefzel. Raychem Spec 44 and Spec 55 would be the next step up. There are shielded and twisted pairs of all three available. Just depends on how anal you want to get with everything. Like everything, there is hobby level that performs well and won't require a 2nd mortgage and then there is LMP spec that is complete overkill for most anything this side of La Sarthe.
www.prowireusa.com has a great selection of Tefzel, Deutsch DT* connectors, mil-spec and Deutsch Autosport connectors, shrink boots and transitions, DR25, etc. Prices are hard to beat as well. If you don't see it on the website or it says out of stock, give Joe a call and he'll hook you up.
If you need any of the stock Mazda connectors, we keep a lot of those in stock.