LED's are great as indicators, and are very easy to interface with. PIC's can produce around 25mA on an output. This is much more than most logic outputs will deliver, and it helps to interface with many devices, especially simple LED's that only require 5mA-20mA usually.
Here's a simple program that will turn an LED on and off twice a second in Swordfish;
The wiring diagram is as follows (note your will need 5V to pin 1, 11 and 32. GND to 12, 31);
Your LED will have a predefined forward voltage and current, which can be found from the supplier your buy it from. You need to use this forward voltage to calculate the series resistor required. Say for example, my LED had a Vf of 2.0 volts, and and If of 20mA(forward current) . This means that the series resistor needs to drop 3V and yet allow 20mA to pass through it. Simple maths allows us to calculate exactly what resistance we need.
Ohms Law: V = IR
Therefore R = V/I
And if R = 3/0.020
Then R = 150 ohms
Now you know that the series resistor must be 150 ohms or greater to safely run your LED. The higher the resistance, the less current that will be available for the LED, hence the brightness will reduce as well.