The idea and circuit came from this Make weekend project. Why don't you pay them a visit?
Step 1: Parts and Tools
But for those of you who like it in text, here it is:
Helping Hands (Optional)
A Blue or White LED (Other colors are fine, too)
2N3904 Transistor or equivalent
1k Resistor (Brown-Black-Red)
Thin wire, two colors (magnet wire works)
You can get the toroid and transistor from a dead CFL; the transistor is usually labeled 13002.
Also, if you use a 2N4401 or BC337 transistor, your LED will be brighter because they can handle more amps.