If you pick up an IPac Ultimate I/O and either ClassicRGB or UltraLux LED buttons from Ultimarc, you'll probably save yourself a lot of time and effort. The board can handle all of your inputs and the LED outputs (as long as you don't need to light up more than 32 buttons, which you shouldn't), and it's plug and play with either button since it's all from the same place. If you set that up with LEDBlinky, you can customize the colors of each button (whether or not they light up at all as well as color preference) for any individual ROM or by the emulator you're using (ie, all NES games just light up the two NES buttons).
I don't know how well LEDBlinky works with Pi, but it's quite easy to set up on a PC.
If you do a separate input board like an IPac2 or KeyWiz/OptiWiz, you'll need a separate board for the LED output...that's what (in my opinion) makes the Ultimate I/O your best bet for an LED button setup.