I use an old PC power supply to provide a -12V, +3.3V, +5V and +12V (and common) buss around my layout. I then tap in, where and as needed. If I need some other "special" voltage, I will build a small board with voltage regulator for that spot. For LEDs, will always put current limiting resistors in place, so tend to run those off of +12V (never just trust that the voltage coming in will protect the LED, plus, dropping the current reduces the brightness).
I use Electronic Goldmine, DigiKey and Ngineering as sources of LEDs.