I'm sorely tempted.
Scratch my previous maplin link, you can get
100 x 3mm 5000mcd hi-bright blue led's for £5 (inc. postal insurance) and shipped from HK from ebay instead.
The forward voltage is a bit high at 3.2v though (as is the current at 30mA).
An alternative is to get
20 x 3mm 3000mcd "normal" blue led's for £6 from the UK. The led's are slightly dimmer but they use less power (3v which is perfect for the nunchucks) and less current (only 20mA), so battery life shouldn't be too compromised.
Also, the only problem with the mod is that it looks
too bright, so maybe these "normal" (rather than hi-bright) led's are a better bet?
EDIT: the modder apparently used 7000mcd LED's (Ultra-bright) which is why it looks so bright (probably eats batteries too

)
Generally speaking, the wiimote only puts out about 3.2V so the forward drop on the LEDs have to be at or below this.
EDIT #2: I just bought
the same 7000mcd LED's that the modder used from ebay (comes to 14p each). However, i intend to add
a 22ohm resistor (27p each) in series which will limit the voltage to only 2.8v and the current to only 20mA which should make the batteries last much longer

(and the Light should appear slightly dimmer too, only about 5000mcd so I'm hoping it will all end up much easier on the eye)
EDIT #3: LED's arrived (but not resistors). I think I'll try the simple mod on my wired NGC controller first (not worried about current use here as this is powered from the cable port). I plan on using one for the yellow c-stick and one for the grey analogue. Will post up piccies when it's done.