How do tricolour LED lights work? (the ones that cycle from colour to colour)?

I was looking for a pack of blue LED's online and came across a red/green/blue cycling LED which only had two leads coming out from it. How do these work?

Comments

[frollard]

They have an entire microcontroller built into the plastic housing. You supply the voltage, and it uses PWM to dim the 3 colours to make all the colours.

Pro:
Convenient package/wiring

Con:
Not customizable. Once programmed, its stuck that way forever. (may not be a con)

[rickharris]

Like this