I have used 2 so far and just ordered a 3rd. I really like it now that we worked out some of the glitches.
The connectors are .1" or 2.54mm "DuPont" style connectors. You can get the pins, 4 pin plug bodies, and crimper on Amazon, although crimping them is an art and quite frustrating and time consuming.
Be sure that whatever LED you use does NOT have the resistor built in. If it does you will just get lower output than expected.
On my first one I used the GGG RGB drive 2 LED's, and frankly I am not happy with them. At first I ordered the regular ones with the resistors built in and no ends on the wires. Then I figured out I didn't need resistors with this controller, so I got them swapped for the ones without resistors and with the DuPont connector already attached (you have to request them specifically when ordering from GGG). This made it easier, but I still had to extend quite a few of them, for which I used generic 20cm 2.54mm male-female jumpers that are typically used for playing with the arduino. That way I didn't have to extend any wires and recrimp any ends.
However, those LED's have degraded over time and I just had to order 5 more (out of 30) to replace bad ones. The color across each of them varies a LOT, especially over time.
On my second build I used the Ultimarc RGB led's and I was VERY happy with them. So far color is great across the board, they come with the right connector, and overall the buttons are brighter. They are more expensive though.
I believe the max per channel for LED output is 20ma, so be careful with other brands.
A few tips:
First, if you are using a trackball and a spinner, you can forget the joystick 3 and 4 inputs, they won't work with it simultaneously.
Second, there are some blank spots on the harness that correspond to ground, I used this for a few of the grounds (just crimp a 2.54mm female pin to a 24-28ga wire and slip it in until it clicks). If you use the ultimarc trackball, there will be a ground already pinned to an "extra" black wire, just plug it into one of those open slots (be sure to note which side it is on, one side is blank, the other a ground).
Third, Don't use this on a USB hub unless you know for sure that the hub is capable of providing good power. I used mine on a cheap powered hub and had MAJOR issues. Soon as I moved it back to an internal port, it fixed it.
Fourth, if you are running animations with LEDblinky, be sure to get the latest firmware. Andy recently made some changes that made a HUGE difference with performance while running LED animations.
It is a great controller, I am very happy with mine.