Splitting of the Universal Coefficients sequence The really beautiful way to prove the Universal Coefficients theorem, to my taste, 
is to use the fibration sequence $K(\mathbb{Z}, n) \to K(\mathbb{Z}, n) \to 
K(\mathbb{Z}/k, n)$ (I'm using $\mathbb{Z}/k$ coefficients for simplicity)
to give a long exact sequence of cohomology, and split it into short exact sequences.
(I'm pretty sure I learned this from Adams' Generalized Homology...).
Anyway, this gives the desired exact sequence, but I don't know how to get
the (nonnatural) splitting that the homological algebra derivation provides.
 A: I would claim that the splitting (and indeed the whole universal coefficient
theorem) is not really a topological theorem. If we take the homological version
one really works with the chain complex $C_\ast(X)$ in the derived category of
$\mathbb Z$-complexes. We then have $C_\ast(X,M)=C_\ast(X)\bigotimes M$ but as
$C_\ast(X)$ is free this equals the derived tensor product
$C_*(X)\bigotimes^{\mathbb L} M$ and hence is a formula in the derived
category. One can then use the fact that in the derived category of $\mathbb
Z$-modules every complex is isomorphic to the sum of its (shifted) homology:
$C\cong \bigoplus_nH_n(C)[n]$ so that 
$$
C_*(X)\bigotimes^{\mathbb L} M \cong \bigoplus_n(H_n(X)\bigotimes^{\mathbb L} M)[n]
$$
and as $A\bigotimes^{\mathbb L} M\cong A\bigotimes M\bigoplus
\mathrm{Tor}^1(A,M)[1]$ we get the universal coefficient formula including the
splitting.
This idea also demonstrates why the splitting is not canonical. We may for
instance consider a group $G$ acting on $X$. We then get at complex $C_*(X)$ in
the derived category of $G$-modules and a complex in that category is in general
not isomorphic to the sum of its homology.
On the other hand, this technique can be used (essentially) each time some
invariant of a topological space $X$ only depends on its chain complex in a way
that takes quasi-isomorphisms to isomorphisms. The conclusion is that it only
depends on the homology of $X$. A nice example is the homology of the $n$'th
symmetric product of $X$. It turns out to be the homology of a complex
constructed functorially from $C_*(X)$ and exactly in a way that preserves
quasi-isomorphisms. Hence it only depends on the homology of $X$ (and one can
also give explicit formulas).
However, the method that you declare a fondness for is also useful if one goes
beyond homology. It can be used to give a universal coefficient spectral
sequence (due to Adams I think) for the (co)homology with coefficients in module
spectrum over a ring spectrum. In general this spectral sequence does not
degenerate to short exact sequences so the problem of splitting is not even
(that) relevant. However, for for instance $K$-theory it does but I imagine
(though I don't know but others certainly do) that even there one can find
examples of non-splitting.
A: (This is a corrected version of my original, off-the--cuff answer).
If R has proj dim 1 and C is a flat chain complex, then you get the
UCT sequence.  To get the splitting, you need to also assume that
C is projective, so that the map C -->> B from the complex to the
subcomplex of boundaries has a splitting.  
A spectrum level construction of the splitting seems unlikely since you
don't have kernels and cokernels, but only fibers and cofibers there.
