How to go about making a light show that syncs to the music live?

OllyR:
also, the mega has a whole 15 Analogue ins, so ignore the bit about reducing it to 5.

The MSGEQ7 doesn't work that way.

It's an 8 pin chip which cycles through the seven equalizer bands one at a time when you send it a clock pulse. You only need one analog pin to use it (plus a couple of digital ones for chip select & clock...)