ok, i think the best place for you USA guys to get some leds are digikey or radioshack. get some high power ones, they simply look better ;D ( try to get some with low radiation angle, they burn nosey peeps eyes when they look into it ;D). then ya gotta watch the voltage and current. ya motherboard header approximately gives 2,3 to 2,7 volts and can supply normal leds that take a maximum of 20 mAmpere. but blue leds can take up to 50 mAmpere at 4 Volts and since i don't know how much ya motherboard header can take i wouldn't recommend hooking them directly. you could hook the power led to you PSU using the right resistor ( calculate with ohms law: voltage supply minus voltage device ,divide through current device ( since miliamps, ya get a 0,0x factor for most leds) and voila, ya got the ohms ya need. try to get a resistor the next higher ohm count available. a 0.25 watts carbone film resistor should be enough for a led). when it comes to the hdd led it gets more difficult if your led is too fat for the mobo header. you would have to connect the led via an optocoupler. if ya need such a device tell me and i could give you some shemes, it's easy if you have some hobby soldering skillz.
when it comes to you cd rom leds it's rather easy. dismantle the cd-rom, desolder original led, solder in new one. here i would recommend to get a led within the normal 2,3-2,7V/20mAmps specs cuz burnin your cd rom wouldn't be nice :