I don't have a whole lot of experience with the Arduino, but I find that I often use it as a platform to quickly prototype circuits and test out components. Since I've only got one, this generally means that I have to pull it from whatever project it happens to be currently connected up to use it for prototyping/debugging something else and hook it back up again later.
Because of this, I created this simple wiring harness so I can easily move my Arduino from one project to the next and back again with little hassle. You can freely insert jumper wires and devices with 0.1" headers with the shield on for prototyping. Then when you have the Arduino wired up how you like it, just clamp the jumper wires down to make it a little more permanent.
I also sometimes wire up miscellaneous connectors for prototyping, like the 15-pin PC joystick connector pictured, and I can connect those directly to the Arduino and not have to worry as much about accidentally pulling wires out as I'm connecting devices and moving them around with the shield installed. There's also plenty of space to access the reset button and the ISP header on my Duemilanove board should I need them.
All parts are cut from 1/8" clear acrylic and I used 3/8" #6 screws to fasten the clamps down.
TIP: You'll likely need to clean out the holes for the 0.1" headers with a needle or a push pin, as the small cylinder of acrylic left from cutting the holes will likely get stuck in them. Alternatively, you can also go over the holes twice when you cut out the shield. This worked well for me and can easily be done by copy/pasting another set of holes on top of the existing ones.
You may have noticed in the pictures that one of the wire clamps is a bit longer than the other. This was one of the clamps I was using when I made my first prototype and I wanted to see if I could make the clamps spring loaded (the edges hung over the edge so you could easily pull the clamp up). I found that it was easy to do so with some simple hardware, but it didn't work very well (mainly because it was hard to remove jumper wires). I'd really like to find a way to simply fold the clamps over the wires from the outside and lock them in place...