MoonCactus had a great idea with his bolted end caps (thing ID 54075) to minimize possible free play at the ends of the rods of the Ultimaker.
With this remix I revised the nut holder of the end cap in a way I like a bit more.
Of course, it's your choice. If you have even further ideas for improvements don't hesitate to take my design and alter it in any form (at least as long as you share it with the community).
Print in ABS or PLA. I recommend a higher infill rate. Support isn't required.
Additional parts you need:
1x M3 nylock nut
1x M3 20 mm bolt (use a thumb/wing screw)
Update 2013-03-05: Corrected the orientation of the object in the file, so you don't have to do this manually inside of your slicing software.
Update 2013-03-11: Separated into two items, so no more support is required. The thick part takes the nylock nut. The round pocket of the thinner part faces towards the bearing.