Since we have so much more space in the arduino due to the switch to SMDs, and better wiring layout...
Would it be possible to attach a LED to every pin? I understand the problem of current draw, but try adding a IC with multiple mosfets on it. If I remember MOSFETs have huge Gate impedance, so there should be minimal to zero current draw by the mosfet switches.
If having one led for every GPIO pin is too much, then use rgb leds, so you have cover 3 pins at a time with one LED packaging.
In the future, it would be even better if we can have a simple indicator using small strips of eink (those 'bar' types you see in lexar flashdrives with capacity display), if I also remember for eink, they are very simple to drive directly.
Beyond the addtional current (which I think will still be more appreciable than you realize), there is the fact that adding LEDs will increase the total cost to make the official boards. Even though the LEDs aren't the most expensive electronic component, especially in bulk, there would still be at least a dozen more on the Uno or Leonardo boards (the Analog pins can also function as digital I/O pins), and at least a few dozen for the Mega. That's going to lead to something like an increase of 1 to 2 USD/Euro, at minimum, for a feature that isn't going to be used a majority of the time.
Now there's nothing to stop someone from producing a variant Arduino board with LEDs on each pin, but I don't think it makes sense to make this addition the official boards.
I don't know how you think it won't be used. I see it more of a 'feedback' debug mechanism, which would help in debugging, or just letting you visually identify any problems.
Perhaps we don't need it for every pin. Still I think we can do with more than one led on pin 13. How about one RGB led, like in the leostick? Good compromise?
How about built your own visual debugger as a stand alone device, you can then use it in as many projects as you like without having to pay for LEDs every time.
If there was enough demand for something like this someone would already be selling such a sheild, I assume noone is and that therefore there are not enough people that want this.
Google up Udo Klein's Blinkenlight Shield. Not sure right off what resistor value he uses, but I've recently been playing with some surface-mount LEDs, I'm using 1K dropping resistors, so only drawing about 3mA per LED, and they are impressively bright with a 5V MCU. Even at 3.3V they are very much usable as indicators.