An insight owner on cleanmpg recently did an upgrade to all LED lights (except headlights) on his car. It cost him $150 for the conversion. I honestly don't think he'll ever see that return in saved gas. However, if you do have problems with your battery getting too low during glides, I'm sure this would help.
I think you could probably get away with just replacing the running lights (and maybe brake lights if you do a lot of city driving) and have a descent reduction in load from doing just those.
Insight LED conversion here.