Micro PSU to power a breadboard with 5 volts.
Connect to 9V battery, 12V or any other DC powersource from 8 to 18 volts.

Step 1: Components

To build this you need:

Some electronics skills. Soldering, knowing how to follow a circuit diagram etc..
1 voltage regulator LM 7805
1 10uF capacitor
1 1000uF capacitor (you can use any big electrolyt capacitor here, doesn't have to be exactly 1000uF)
1 100nF capacitor
1 LED for power on indication
1 resistor to to take the voltage down from 5V to whatever your LED runs at
1 screw terminal for the input voltage
1 switch for input voltage on/off
1 perfboard, the type with copper eyes, not stripes
1 2-pin connector to plug the unit into the breadboard

Resistor calculation

R = ohm of resistor
V = voltage for the LED (You can find this in the datasheet for your LED)
I = current for the LED (can also be found in the datasheet)

R = (5-V) / I
Then round up to the nearest resistor value you can find.

Step 2: Minimize

Place all the components on a perfboard to see how tiny you can make it.
I won't give any detailed instructions here, as the size and layout of the parts you use may vary from mine.

Put the components in as tight as you can, while verifying that you can in fact complete the circuit on the underside of the board without adding any wires.

When you've found your minimum size, cut out the piece you need.