It's plain ol RJ11 telephone cable (four conductor!). I bought my 10' cable from walmart for $0.65. I guess you could crimp it, but it just seems easier to buy it pre-made.
Very interesting also for the OBDuino I am working on. I am using the same connections for LCD and buttons. The only diff is that instead of using Injectors/VSS on pin 2,3,14, I am using the tx/rx on pin 0 and 1.
I may buy a kit just to modify it a bit and plug my ELM interface (see bottom of this page OBDuinoInterface - opengauge - Google Code - OBDuino OBD2 cable and Interface adapter )