DIY Ring Light

For me I opted for a more versatile setup. I use 2 velcro (hook and loop) strips that I use to wrap around a lens hood. These strips have one side that is all furry (loop side) and only a small square on the underside of the strip for the hooks that attach to the furry side.
Then I bought a packet of self adhesive velcro strips and only utilizing the hooks. I then cut the hook strips into little squares to stick onto the led flashlights.
I bought 20 of the led flashlights because they were so cheap at Deal Extreme
How many led flashlights you need or want is entirely up to you but I would suggest at least 4.

I've chosen to use a lens hood rather than just putting the velcro strip on the lens because it's easier to position the light from the led's to where you want it. Also, if you mount the led's on the lens you have to move the light further back from the front of the lens so you won't get flaring issues.
I didn't buy the lens hood specifically for this project, I have lens hoods for all my lenses for that extra protection since I'm pretty clumsy. I would highly recommend you get rigid lens hoods also (as opposed to the flexible rubber ones). I dropped an 'L' lens and the hood hit the ground first. The lens still works great! The only evidence of damage is the scratches and dings on the lens hood.
The primary purpose of hoods are to prevent flaring so yeah, they are good things to invest in. Third party ones are cheaper.
In the photo you can see my velcro straps on the hood. You can get the straps snug enough so that it won't slide off even with the led's attached. Check out some of the photos in the slide show below. Oh, the photo was taken using my DIY light tent also, you can check it out here

If you're going to source your own LED flashlights, make sure they have a switch that can keep the flashlight on constantly. Like these ones pictured here. If you don't use the switch you can get them to shine by pressing down on the "button" side. Basically squeezing the flat sides of the led with your thumb and index finger.
You will be sticking the cut up hook pieces onto the underside of the led (the side without the switch).
These flashlights come with batteries installed which are replaceable but I bet the batteries cost more than it does to buy a new led flashlight. Really, these led lights I bought in packs of 10 come out to roughly 47 cents a piece, FREE SHIPPING ! Check it out at Deal Extreme.
All my led's were in working order, packed in a bubble pack and sent in a bubble envelope.
I ended up with only 16 cuz my family members kept taking them. They are really cool and SUPER bright.

If you like macro photography then you'll absolutely want a ring flash. Look at the photo, you'll see that the shadow of the camera and flash entirely cover the object. I couldn't even auto focus using a 100mm f2.8 macro lens. This is an extreme example, but in any case, the closer your lens is to the object the more light you need because your lens isn't getting enough light. As you know, not enough light will cause you to adjust your iso (increasing noise) or decreasing shutter speed which will give rise to blurry images if you're not using a good tripod and mirror lock up. So to by pass all of that people use the incredibly expensive ring lights or the adapters that attach to your flash gun and extends the light to a ring thats surrounds your lens. The only difference is that those expensive ring lights have a plastic piece that the light shines through in essence softening the light. Whereas this DIY project is just raw light shining on your object which will result in harsher shadows but you probably want this if you are trying to bring out the texture on your object more.
In the photo of the fountain pen, I had used a couple of led's and aimed them to eliminate some of the shadows.

Now that you have your velcro strip on your hood (or lens) and have stuck the velcro hooks to your leds, you can now attach (as many as you want) to the velcro loop strip on your hood (or lens).
I love the way I can adjust the positioning of each led to get the light to shine where I need it to.
For more options you can use your light tent. If you don't have one check out my DIY light tent. Check out the photos in the slideshow below.
Note: I found the keychain rings very cumbersome so I took them off, it's kind of a pain in the butt to have to turn on each LED but knowing I saved a few hundred is all so worth it and it is kinda cool if you turn on the led before placing it on the velcro loop band so you can aim it exactly where you want the light to hit.

I like this a lot. It's like a light sabre attached to my camera...haha. I placed 12 led's on the hood and took a shot of my kitchen (with lights off) using my 70-300 IS USM lens. Check it out. I didn't include the pictures without the led's light because a black picture is kinda lame. I have a shot of my fridge in the slideshow too. Check out the link in the useful links section below for more uses for the led's.
The fridge and the yellow container are between 10-12 feet away from the camera.