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I got the uno board on Ebay for about 30.00. it also shipped with 2 leds and resistors.
I tried the blink example and then modified it to use pin 12 and one of the external LED's and it works.
I've had a couple of courses in digital electronics but not any formal training in analog type circuits.
Welcome to the show 8)
Update your profile so we can offer proper geographic help eventually 
There are lots of places to buy parts & bits for playing, make sure you use a resistor in series with the LED so you don't smoke your output pins.
http://www.nkcelectronics.com/arduino-diecimila.html
Here's some examples of connecting other things