Fortunately, leds come in different sizes and voltage specifications. The headers from the motherboard generally use around 2v or maybe a bit more. This is enough to light most led's but if you want a bright blue, you'd be better off wiring it to a molex connector and using a resistor. Radioshack has a pretty good selection of led's. Find led's that have theri max voltage rating listed on the back of the package. You could then calculate the amount of resistence in ohms that would be required to get that voltage. But run a search on the topic and you should come up with plenty of threads about led's and links to online vendors that sell the good ones, and a led voltage/resistence calculator.
BTW, blue led for my power light, red led for HDD activity, red led inside my PSU, blue led in a chromed side panel duct, green led floating free in my case... haven't decided where to put that one yet.
My leds a 5mm super bright by Linrose(purchased at Fry's electronics for about $4 each). I run them on 12v thru molex connectors (used dead fans for the wiring). The led's each have a 1/2 watt 680 ohm resistor in their wiring, and they are very bright, bright enough to light my case up if I place them in good spots..