After some searching on the web and plenty of impatient waiting for packages to arrive I was finally able to connect and control 17 LEDs and an Ultrasonic sensor in a show of lights.
Now enough talking and more constructing...
Step 1: Materials
1x Arduino Uno
17x 5mm LED
4 each of Red, Green, Yellow, Blue. You will also need an additional 17th for your handle bars. A diffused LED will be a little less jarring for your eyes. Make sure than none of them draw more than 40mA. These are available through most every electronics website. You can also buy them at Radio Shack, although, in my experience they always cost a little more in a pysical location versus an online store.
A helpful resistor calculator can be found here. Allelectronics has a great selection page to choose from.
Homedepot has a number of cheap and sturdy options or Allelectronics which is what I used. Make sure to buy something at least a 1/4 bigger than the Arduino in each direction. The one that I used fit a little to snuggly.
1x Perf board
22 AWG wire
One color should be fine and you will not need more than a couple of feet.
1x Ultrasonic Proximity sensor
There a number of options depending on what kind of range you want, but I used this one from Sparkun which has a range of 6.45 meters.
1x Switch It should not need to carry more than an amp and should be capable of 9v. Try to get one with a neck like this and two legs, however this particular switch can handle far more amps than you will ever need with this project
1x 9v Battery holder and 9v battery
Velcro, Zip ties, or some other material to attach the box to the bike. Depending on the size of your saddle bag you might be able to fit it inside of that.
D.I.Y style patience
Dremel or some sort of similar cutting tool
Wire stripper or a knife will work