LED's used as indicator lights use an incredibly small amount of power, which is why they are researching LED panels as replacements for household lighting fixtures. Another benefit is that there is no mercury used in them, so you don't have the disposal issue that you have with fluorescent lighting.

As an example, the incandescent bulbs used for a rear marker/brake light in a car consume approx 35 watts of power when on. An LED array (8 LEDs in a cluster) uses only 1.5 watts, which equates to each LED using 0.18 watts.

More power is lost by hysteresis loss in the power supply (converting AC to DC to run the electronics and the step down transformer to bring the voltage to the right level) than is lost using LEDs as indicators.