You mention you won't be able to source that much power from Arduino. Are they are 5V LEDs? If they're 5V the TLC5940 won't directly drive that much current either. They only sink 120mA per PWM channel and a 1W 5V LED would need 200mA max. In that instance you'll probably need to consider using the outputs of the IC to drive logic level MOSFETs which will deal with the current involved. Same will go for shift registers if you went down that path - even a beefy TPIC6B595N shift register will only sink 120mA per channel. Standard 75HC595 will only output 35mA per channel.
that's what i thought, so if i use mosfet, the arduino will be capable of powering the LED'S ?
I have never used this kind of component and im not sure if i understood well
edit: Ok the mosfet give pwm impulsion but doesn't drain current from the board, i need an external power supply
Am i wrong ?
You need external supply. Arduino 5V header pin is only good for 800mA.
TPIC6B595 can sink 150mA continuous per pin (not 120).
aaTPIC6A596 can sink 350mA continuous per pin.
74HC595 can sink 35mA Absolute Max, but then only 2 pins may be used as VCC & Gnd pins have 70mA Absolute Max limit. It's just not a good part for LEDs.
For this kind of current, you're really better off with Logic Level, Low Rds, N-channel MOSFETs to sink current to Gnd.
With 0.008ohm Rds (on-state resistance), this part will dissipate just 0.2A * 0.2A * .008 ohm = 0.3mW, nice & cool.