This is a really easy mod that basically just requires these things.
100 OHM resistor (radio shack)
Soldering iron & small solder wire
Hot glue gun
Drill & drill bit the size of your led
Small philips screwdriver
Rubbing alcohol, q-tips, and tissue paper to clean the controller inside & out
2 led's (whichever color you want) that can be picked up at radioshack
And last but not least Safety glasses
Step 1: Disassembling, Cleaning, & Installing Led's in Controller
I took the controller apart removing 6 small philips head screws & cleaned all the pieces using rubbing alcohol, q-tips, and tissue. I then figured out where I wanted my led's & drilled the 2 holes placing them in & hot gluing them in place so I could solder it all without everything moving around.
Step 2: Soldering in 100 Ohm Resistor & Led's in Series.
Now I reinstalled buttons & rubber connectors for buttons. I soldered my 100 ohm resistor into the spot on the upper right corner of the controller board which conveniently enough has a hole & copper trace for both 5V+ and a ground. The 5V is on the outermost (far right) side of controller and the ground on the left right beside it. Once 100 ohm resistor soldered in I then soldered the + leg of 1st led (longest leg) to the other end of the resistor & then the negative leg to the + leg of my 2nd resistor. I then soldered a small wire to the negative leg of 2nd resistor so it could reach the ground beside my 5V power feed & soldered it in place. I then hot glued over the leds so there's no chance they can move. Now I put the back cover back in place with the 6 screws.
Step 3: Looks Much More Exciting.
I already had Red, White, & Green led's in my nes console & player 1 controller so I wanted to add a couple of colors to a player 2 controller so I chose blue and yellow led's. Now I can leave the player 2 controller plugged in & it's sort of like Christmas each time I turn my NES on.