Step 2: The LED
LEDs come in different sizes, brightnesses, voltages, colors and beam patterns, but the selection at Radioshack is pretty small and so I just picked up a couple different LEDs from what they had in a few different brightnesses and voltages. I kept close track of what LED was what voltage because I didn't want to accidentally send too much current through one of the low voltage LEDs.
The first thing I did with the LEDs was figure out which wire (its called an electrode) was positive and which was negative. Generally speaking the longer wire is the positive electrode and the shorter wire is the negative electrode.
You can also take a look inside the LED itself and see whats going on. The smaller of the metal pieces inside the LED connects to the positive electrode and the bigger one is the negative electrode (see picture below). But be warned - in the LEDs I picked up I didn't always find this to be true and some of the LEDs had the longer electrode on the negative when it should be on the positive. Go figure - its OK though, if it didn't light up I just flipped it around.
Once I knew what was positive and what was negative I just had to remember what the voltage of each LED was.
All my LEDs recommended 20mA of current. 20mA is standard for most LEDs.