Here's a word of caution:
Never hook up an incandescent bulb to the 5v of your KeyWiz. The 5v for the KeyWiz comes straight from the PS/2 port, and if you blow the fuse in there, it'll be a major pain to make the port work again, if it's possible at all.
In other words, if you like your motherboard and want it to continue to be servicable, don't hook up power hungry stuff like lightbulbs to your PS/2 port.
LED will be fine as long as you don't use too many. The number will vary with the model of motherboard in question, but 5 - 8 LED's shouldn't be a big deal.
RandyT