For LEDs it seems that switches are made to take the 3mm kind, that being said some switches will have slots instead of holes and allows for more options.
As far as site to buy LEDs from you will have more color options if you go with an electronic supplier (Mouser, Farnell, Digi-Key...) than going with a keyboard part supplier and if timing is not critical there are very cheap options when you look at chinese vendors (LCSC, ebay...).