Some time ago I bought resistorized leds from digikey, part number 67-1103-ND. That part is still available, but nothing about the description and nothing on the datasheet indicates that they are resistorized as far as I could tell. The same was true when I bought the last batch, though, and they were.
phanderson.com used to sell resistorized leds, but I couldn't find them now.
JR Hackett (writer of picaxe articles for Nuts and Volts) has them here:
http://jrhackett.net/LEDs.shtml
I find them very useful on breadboards.