Links to online stores selling LEDs:
MCMelectronics/Newark: 3mm, 5mm, 8mm, 10mm LEDs.
Radioshack.com: LEDs & LED holders and assemblies.
Parts-Express.com: Standard, Ultra-Bright, Multi-Color and Flashing LEDs.
Ebay.com: Search for LEDs here, or use the search box below:
There are countless listings on ebay for every shape, type and color of LED, even pre-wired LEDS. You can also find a good number of kits there, last time I looked there was a cheap offer of an assortment of 75 5mm, red, green, yellow LEDs, an other good offer for a kit of 300 3mm T1 red green & yellow LEDs, and a super cheap 80 pieces kit containing 15 3mm and 5mm green, 20 3mm and 5mm red and 10 5mm yellow LEDs. I'm sure you'll find a good deal in seconds. There were over 700,000 listings at the time of this writing!
Maplin.co.uk (UK): has a large selection of LEDs here - standard 3mm, 5mm, 8mm 10mm LEDs in many colors, flashing LEDs, infrared and multicolored LEDs.
Rapidonline.com (UK): miniature, 3mm, 5mm, 8mm, 10mm, surface mount, rectangular, power and infrared LEDs.
Other stores: Amazon, Farnell (UK), Digi-Key, Mouser...