draythomp:
Also, what the heck are the LEDs for? Do they show wind direction or something? Or, is it just to annoy the neighbors?
Yes. To annoy the neighbors. 
They are independently controllable; out of the box they just alternate blinking (red, blue, both). Perhaps intended as a warning to passing Zeppelins.
It's a very ...quirky device. Those LEDs are really, seriously bright, and AFAIK serve no practical purpose whatsoever. I've got the 1-Wire variant of this station and the first thing I did was to harvest those LEDs for other projects.
draythomp:
Interesting though how they split the line off to various devices. I couldn't tell for sure, did you get all the pieces, or do you have to buy the temperature/humidity, barometer and rain gauge separately?
The device has temperature, light level, anemometer and wind direction built in. Other functions need to be added on. I have a UV level detector and rain gauge on the roof, humidity and pressure under the eaves. This is utterly painless to add with 1-Wire, would be interested in hearing if it's as straightforward with the RS485 variant.