Is it one of the Theftlock or Monsoon stereos? And is the LED display not working (the clock & radio station numbers) or is it the internal bulbs that shine through the buttons and where you put the disk in? Two different parts there. I took apart a Theftlock cassette stereo once to replace the light bulbs that shine through the buttons, they are not LED's but small 2 wire bulbs with plastic bases. Not sure about part # but I had an old stereo with working lights, took it apart (you need a micro small hex wrench to remove the face plate from the pc board to get to the bulbs) and a standard desoldering iron let me pull the good bulbs out of the circuit board. Then I desoldered the bad bulbs in the good stereo and just soldered the good ones into the circuit board, bolted it all back together and it works like new. Not sure where you could buy new bulbs but you can usually pick up a used radio with cassette for about $10 or 15 on ebay and just use it for parts.
Hope this helps.
Dave