I use my keyboard leds for three things: num lock flashes when someone sends me an aim message, caps lock flashes when someone says something on irc with my name in it, and scroll lock lights up when I have new mail.

It's quite easy changing the state of your leds if you're using linux. here is a perl example that works both in console and X:

#!/usr/bin/perl
open(FH, "/dev/tty1") or die "open";
ioctl(FH, 0x4b32, 1); # scroll lock on
ioctl(FH, 0x4b32, 2); # num lock on
ioctl(FH, 0x4b32, 4); # caps lock on
ioctl(FH, 0x4b32, 0); # all off
close(FH);

Remember to put some kind of sleep statement there if you want to see anything. Because this script calls ioctl(), it does have to be run as root.

This is a blinking script I use when my attention is needed:

#!/usr/bin/perl
use Time::HiRes qw( usleep );
open(FH, "/dev/tty1") or die "open";
ioctl(FH, 0x4b32, 0); # all off
while (1) {
ioctl(FH, 0x4b32, 2); usleep (50000);
ioctl(FH, 0x4b32, 0); usleep (50000);
$counter++; if ($counter == "10") { close(FH); exit; };
}

Other examples:

ioctl(FH, 0x4b32, 3); # scroll lock and numlock
ioctl(FH, 0x4b32, 6); # caps lock and numlock
ioctl(FH, 0x4b32, 5); # scroll lock and caps lock
ioctl(FH, 0x4b32, 7); # everything

Have fun!