The stock antenna supplied with the dongles is pretty hopeless. It is strongly recommended that a purpose built or purchased antenna is used and placed outside and as up high as possible.
RG6 Quadshield: This cable is cheap and fairly ubiquitous as it's very good cable for digital TV and satellite receivers (and by extension RTLSDR). The connectors (so called 'F' type) are very easy to attach and also cheap. RG6 is 75ohms but for the purposes of RTLSDR don't get hung up on using more expensive 50ohm cable as there is negligible difference (0.2dB) in reception levels.
Here is a description of how to fit an F connector to RG6.
F connectors can be robustly fitted by using a kind that requires an expensive crimp tool. There are also much easier to use push-to-fit kind that only need the puniest of software developer's muscles to attach.