3-pin headers are used with MANY accessories, and some even use "lock tab" or "buckled" connectors that physically lock them into place. Here's a socket that mates with them!
Locking pin connectors are a double-edged sword. Sometimes you really want to make sure a cable stays put, but when you're busy fighting with your new puppy regarding that microcontroller & attached accessory, you would like something to snap. Sorry, ain't gonna happen when you're using these "locking tab" sockets!
These sockets are specially designed to accept "lock tab" female headers, like the ones Phidgets or Seeed studios use on their cables. Solder these onto your board, insert the proper cable, and you get a satisfying "snap!", and it won't budge until you press the tab and pull!