For that many...
A decent sized battery (to power all this with)
ShiftRegisters (eg, 500 led's would be 500/8 = 62 shift registers)
What Power source to do all this? (eg, if each LED was 20ma, are all your LED's going to be on at once?... or off... eg, 500 leds * 20ma @ 5v?)
Transistors to switch all this current on (as Arduino can ony supply 40ma per pin, and 120ma? for all... So, include Resistors)...
Anyway this is quite a big build..
Esp when you have to take into consideration all the resistance from the AG Line thread / conductive thread you're buying, due to the resistance you
could cut down on costs as the resistor could be part of how long your thread is...
There's many way's to go about it though.....