Personally, I like this one:
http://www.radioshack.com/product/in...entPage=search
It's got a 7.5A mini-fuse built into the side, replaceable with anything lower if wanted. It uses two spring connectors (similar to stereo wire quick connectors) and has a nice little form factor that isn't as obtrusive as the banana jack one.
Either way, one thing to realize is that not all cars keep the cigarette lighter jack constantly powered. Mine only comes on w/ ACC and IGN and will turn off during a crank. Many Japanese cars are like this, where I've noticed most American trucks are constant. In-between is a crapshoot.
Depending on the current requirements for the 'guino, the backside of all radio harnesses have a const. +12V and ground (typically the yellow wire) used to power the radio memory when the car is off. Less than an amp or two *should* be safe to tap from this line. Beyond this, I'd run to the battery directly (be sure to fuse any wire at the wire's top rating or lower when running from the battery to prevent shorts and fire). Most cars have a convenient firewall rubber grommet you can punch through somewhere above the pedals.