LEDs are cheap and readily available from most electronics hobby outlets (i.e. Radio Shack in the US).
Available colours: Red, green, blue, white, orange/yellow, UV, and maybe others. The brightest ones come with a water clear package. Available commonly in 3mm and 5mm sizes - both commonly used in fans.
Caveat: If you wire them wrong way around, they won't come on.
There's a company on eBay that sells 100 LEDs, very high Mcd (I think thats what it is..the brighness) and 100 resisters for 12v for 2 bucks....
those LED's you want to replace are probablly already resisted somewhere in the circuit, but you could just solder in a resister then the new ones if you're not sure
Sever the connections to the led on the fans. Then hotglue a green led onto the fan and run the power to the molex. At this point you'll have a green led but wont have to break a fan to get a change in color.
A little on the expensive side, and time consuming - easier, and cheaper, go to the library for a beginners book on fundamentals.
LEDs are a current device (almost make a good voltage regulator. Typical LEDs require approx 20 mills of current and have a voltage droop of approx 1.8 - 2 Volts. For a 12 Volt application: A series resistor of 510 ohms is need (12V - 1.8V)/.02 A = 510. If the LED is a 6V Led, the (12V - 6V) /.02A = a 300 Ohm resistor is required. The resistor is in series (not across) and can be in either leg. Super bright LED use higher Current, and not positive about forward voltage drop - normally listed on package
If the LED is listed as 12 V, the the correct Restance is built it.