For [
Pinky] I just drilled some 5mm holes around the screen, the LEDs are a nice snug fit when the LEDs are fully inserted into the holes:

I'm nearly finished wiring the 34 LEDs up in the bezel, they will be controlled by two LED Wiz's.

I've also routed a channel in the bottom of the case to mount 8 LEDs in for underlighting, these will also be controlled by one of the LED Wiz's.
For my [
cocktail project] I am having rings of LEDs around the joysticks to show if the game is 2-way/4-way/8-way etc. I've drilled the though holes 5mm and have counter-bored them 10mmx5mm deep to insert some polycarb inserts.

I'm then going to cut arrows out of the CP overlay to reveal the backlit polycarb below, kinda like this:
I should also be able to get some nice lighting effects with the rings, I made a quick and dirty test CP and had a quick go at programming a sequence:
[youtube]http://uk.youtube.com/watch?v=GwPkp8YLPV4[/youtube]
They are just plain 5mm inserts in that vid, not arrows like the planned final design.
I'm also going to have ~20 LEDs in the top of the cocktail to give a star field effect.
mccoy178 used lots of LEDs/lights in his [
Dual monitor/ touch screen jukebox]. You may want to have a look at that thread for some ideas and mounting techniques.