Jimmie P. Rodgers brought a whole bunch of color changing LED throwies to Providence recently, and I just had to get some of the LEDs he used for my own enjoyment.
Each piece has three LEDs inside that are under the control of an embedded microcontroller. There are two main variants: fast flashing, and slow flashing. The slow flashing models have more of a gradual change to them as shown in the video above. You can also get diffused and clear versions of either. Unlike the four-lead common cathode or anode RGB LEDs, there is no way to control the mix of colors (you just have to sit back and enjoy them).
It may take a couple weeks for them to arrive, but they are well worth it; use them to make some LED throwies, and let the fun begin.