There is an internal interrupt (in wiring_serial.c) that is raised when a character is received on the serial hardware but its not a good idea for sketch code to handle incoming serial data in this way. You could miss incoming characters if the code that responds to the interrupt is still running when new characters come in. Although lighting an LED would probably be quick enough for this not to happen, if you wanted to add functionality later on your code would break.
And modifying interrupt handlers is something that can result in bugs that are difficult to find and fix.
I agree with mikmo's advice, If you can, try to structure your sketch so that you can check in your loop code to see if characters are available using Serial.available.