If you're into hacking, I have built a number of simple relay controllers using these Arduino relay boards. They're cheap and reliable. I used these Zigbee modules from Sengled BR30 bulbs which are very easy to extract. The bulbs were super cheap for me, so I bought all I could get.
You might be able to power an LED directly from the module output, but it's PWM, so I'm not 100% sure it won't visibly flicker. The Arduino relay has no problem with it. You could also wire the relay so that the voltage to the LED is reversed when opened and closed. There are LEDs that will changed color when polarity is reversed.
