Ebay is an excellent source for LEDs in all sorts of colours, shapes and sizes, you can get packs with resistors appropriate for the voltage you're using, and/or pre-wired. I use ebay all the time for such things. Just remember to look carefully at where the items are posted from: if HK or China they'll take a while to arrive.
Maplin is also a good source, but you'll have to sort out your own resistors. We have a Maplin shop a couple of miles away, both my lad and I always enjoy a wander around. I've used Maplin mail order since the 1970s.
Model shops often stock them too. If you go to model railway exhibitions and there may be a trader stocking them.
You could possibly cannibalise a Xmas light set but depends what colour you want. Buy a cheap set from Pound Shop or similar, but of course you'll have to sort out suitable resistors.