I cannot offer you any help here as I am always getting advice from Crossroads, Nick and many other fine minds here on the forum. I just wanted to say that I am very interested in watching the progress of your project. Well before I had even heard of Arduino and micro controllers, and also being a guitarist, I had thought of this too. Stick with it the sky is the limit with this idea. Just think of all the different scales, and different positions of those scales. Then as you point out there is also the potential for indicating chord shapes, lead runs ... the mind boggles. Grumpy Mike of this forum is a smart fellow who also has a history of developing some interesting musical projects so maybe he can offer you some advice. Don't get me started on using different coloured LED's to indicate the root notes of scales, degrees of chords etc.
I for one would be very interested in seeing any photos of the construction of the fretboard LED lighting etc. Good luck and keep us posted, Pedro.
p.s. - In regard to the use of delay, which some here refer to as "the devils function"
take a look at blink without delay