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I see almost all modern development boards (Raspberry Pi, Cubieboard, Odroid, etc) have pin headers attached. I couldn't find a clear description of what they do. What are the practical uses of them?
Can I, for example, make some sort of SATA connector in order to connect HDDs if there is no standard SATA port on the board?
The 40 pin expansion header provides power and ground rails as well as 28 GPIOs (general purpose inputs outputs).
The GPIOs are controllable IO lines and as the name suggests may be individually configured to be inputs or outputs. The inputs may be used to read sensors such as switches, ADCs, thermometers etc. The outputs may be used to control motors (DC, servo, stepper etc.) and switch devices on and off via transistors etc.
The possibilities are literally endless. Look through issues of the Magpi to get some ideas.
One thing you can't do is SATA. You will not be able to write software to switch the GPIOs at the speeds you need.
Pin headers in general are just what the name suggests: pins. Those pins can be connected to various things, such as power lines, data lines and signal lines.
As already explained, the one on the Pi is documented and it is known what they all do. If you check out a different device, you might see headers with pins in them as well, but unless they are documented or you traced out their connections, you won't actually know what they are for.
Some pin headers have power connections and nothing else. Some might only have audio, or only a few GPIO connections. GPIO stands for General Purpose Input/Output, which are basically programmable connections. GPIO is very flexible, but in general is not capable of high speeds (as in: not as fast as PCI Express or even USB) or high voltages. This also means that you probably won't have any luck trying to program SATA-over-GPIO as it's most likely not going to work at all due to the speed being too low and unpredictable from the software side of things to actually communicate with a SATA device.
Pin headers can also be explained as simply being "plugs". They have no standard use or universal system and are commonly pretty device-specific.
