If it's your first project, stick with common 0.1" headers unless you need something very specific (small, high pin count, etc). You can buy locking versions if needed.
This is the type of connector most commonly used in hobby electronics, such as on the Arduino and Raspberry Pi. 0.1" is the 'pitch', the distance between pins. I picked a 1x4 (meaning <rows> x <pins> or <rows> x <pins per row>) version, but they come in many different pin and row counts.
The version above is very simple, just bare pins that would get soldered to a PCB. There are many that come with additional 'features' that could be useful. For instance, you could get a locking header that has a tab to retain the connection against vibration or tugging. Or you can get a key or shroud that forces the connector to be inserted in the correct orientation. They also come in versions that support soldering directly to a PCB, vertically or at a right angle, or connecting to wires directly.
