As John mentioned above, Digikey is a great souce for the 2.5mm LEOCO-compatible JST-EH connectors.
Lionel Service also has them for sale, albeit at "retail" prices. Just search the following string: 691cn25
Lionel also has the wires with the metal connectors on them -- you'll see them with the same search string above. I'd like to find another source (as Lionel is out of a lot of colors), but haven't had much luck to date.
TRW