It's a standard 0.100" connector. You can buy them from Jameco or similar. They usually crimp onto a ribbon cable, or you can get them in PC mount. Davis molds theirs into the potting.
It is not
a standard 0.100" connector, it just looks like it. 0.1" = 2.54 mm. The pin spacing on the Davis connector is actually a little finer at 2mm (go measure it if you don't believe me), so you need something like this
, along with a compatible ribbon cable. Note that Newark has a free shipping deal on right now too.
That is the right way to do it, which of course is not what I'm doing right now since I didn't have 20 pin 2mm IDC connectors just lying around when I started all this. So I directly soldered some 30 gauge wire to the Davis circuit board to give me easy access to some of the pins. For the serial connection, I salvaged some individual sockets out of an old connector I had lying around, attached some wire to them, insulated them with masking tape, pushed them onto the expansion connector, and hooked up using some test leads with alligator clips at each end. This fragile mess keeps things exciting, since I'm always just one short circuit away from disasterous consequences.