You really need to learn the SI prefixes.
I know the metric prefixes, I just got confused for a moment.

Will the inductor have any DC flowing thru it?
It will have lots of DC flowing through it. Almost 250mA in this application, up to 480mA in others. It's on the +5v line going to my led modules and powering all my LEDs. It's there to prevent noise from the PWM from getting into the rest of the system.
The henry (lower case h), symbol "H" (upper case), is that inductance that
generates 1 volt when the current changes uniformly at 1 amp per second.
Thus 1uH needs the current to be changing at 1 amp per microsecond to generate
1 volt. (or equivalently generates 1uV when current changes at 1A/s)
I don't understand what I'm supposed to take away from this.
I watched a few tutorials on inductors and I think I get what they're doing, but even knowing that H = (V * s) / A, I don't know how to apply that to this circuit.
This was th only inductor I was able to get at Radio Shack:
http://www.radioshack.com/product/index.jsp?productId=2103978
100uH, 2A max. It says "rated at 1khz" as well but I don't know what that rating is for.
Anyway, I placed that in my circuit, in series with the 5V to the LED module, and with a 270uf capacitor I had already put from 5V to ground on the module side and it helped a little, but the noise is still clearly there.
Do I need to use a smaller inductor here? Or is it just that my capacitor is too small? I bought a 470uf and 1000uf capacitor to test with. I guess I'll try those next.