I notice from the central heating diagrams that 4 (and sometimes 5)
connections need to be made between the junction box and the programmer.
Is there a particular cable for this or is it usually knocked up with a
couple of runs of twin and earth?

I've normally seen multiple cables. Frequently, it has been a 2+E for the
permanent live and 3+E for signalling/switched lives. Not that I've seen
that many installations.

Christian.