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There is an app called Blink - Flash LED in Your Way... gives you ability to set different colours for SMS/MMS, Incoming/Missed Call, Battery/Memory Level with different colour LED's and you can also vary the rate of flashing ie fast, normal, slow etc.
My email app K9 also allows you to chose your colour, as does Handcent as stated above as does my Twitter app Touiteur. So you can pretty much change it up to what you want.
That's weird ive never heard of this menu i know of two secret menu's and how to access them but they only test your phones ability's and tells you the phone's info.I just bought a sony xperia x10 two weeks ago and i made a change to the notification LED colors right out the box with no apps. The only issue is now i cannot remember how I did it to make the same change on my wifes phone.