I get my leds from SUPER BRIGHT LEDS - LED Lights & Accessories. It all depends on what led you choose, what the forward voltage and the current is. Don't forget to use a resistor...
Which 4 pin connector? If you mean the general 4 pin Molex that connects to hard drives etc. that connector has two voltages. You have 12 volts (yellow) and 5 volts (Red) so as mentioned depending on the LEDs you will need series resistors.
How to connect them is one thing but where to buy them; I have found the cheapest place to be **broken link removed** depending in where you are, I did one purchase from them and received my package within one week in Canada.
Edit: Just for the record, I've purchased 300, received 302 and 100% were good.
Yes, another issue is when people choose not to list a location. How can members make suggestions as to where to buy components when they have no clue where you are?