GPIO generally only supports discrete outputs.
But for some types of hardware, like LEDs and some motors, the system has some inertia, and if you switch on and off fast enough, you get a result similar to having an intermediate voltage.
So with pulse width modulation we can fake analog output from digital output in a good enough manner.
Notably used to connect:
You can buy large sets of them in combitation of male/male, male/female, female/female. Male/male is perhaps the most important
Video 1. Making Jumper Wires by PCBurn! (2018) Source.
These often come pre-soldered on devboards, e.g. and allow for easy access to GPIO pins. E.g. they're present on the Raspberry Pi 2.
Why would someone ever sell a devboard without them pre-soldered!
Figure 1. 6x1 pin header. Source.
Figure 2. Underside of a Raspberry Pi 2. Source. At the top of this image we can clearly see how the usually pre-soldered pin header connectors go through the PCB and are soldered on both sides.
Allows you to connect two adjacent pins of a pin header. Sometimes used as a hardware configuration interface!
Figure 1. Source.

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