Check that you have sufficient delay. Or try adding a delay(100) in the loop function to test.

Best guess: 4051b
http://ics.nxp.com/products/hef/datasheet/hef4051b.pdf

What do I do with Vss, Vee, and the common in/out?

Ground, ground, and your input line.

Multiplexers generally dont have a latch, so you will only be able to drive 1 LED at a time.

PS: And remember the series resistors before each LED.

The Arduino can do 2mbit in Serial.

Try that first.

Finally found the local distributors for Farnell. Pretty close to me in fact.

Thanks Grumpy_Mike  

Though the default Arduino I2C speed is 100KHz, it's still pretty fast.

I got a couple of MCP23016's.

Mine runs pretty good at 400khz, after I tweaked the Wire libs.

With a few other I2C devices, I had to drop it to 300khz though.

Farnell have 457 in stock:-

Pity that I am in South Africa.  Should have asked the English football team to bring me some   :

For extra I/O with fast access use the MCP23S17

I'm so badly trying to get hold of them, but RS has no stock currently...  

MCP23xxx series  8/16 port(pin really) I/O expanders. I2C or SPI.

Here is a start.

http://www.datasheetarchive.com/PG240160-B-datasheet.html

It is a little on the vague side, but see if you can find similar ones.

A tip for searching, dont use all the numbers  

I did something similar a while back, but just used a LDR, but have 'tuned' it to pulse on a digital pin.  I just care about on and off and timing that.

All the code I have found just spits out the temps with no way to distinguish them from each other.

Use the DallasTemperature library.  Works well.

Wire.send(Tach0Command);    
Wire.requestFrom(FanControllerAddress,1);

You need a Wire.endTransmission before the Wire.requestFrom.

byte WR = Wire.receive();

What is that for? That will be called before setup() and your call to Wire.begin().

int val = 0; // variable to store the value coming
            // from the sensor

Change to byte, and the rest should work.