Is there an app to simply change my LED color?
If you mean the small light that tells you when you have a message, handcent will let you pick the color you want when receiving a text. Not sure about changing it when you miss a call or receive a voicemail.
Get the app "Missed Call for Android 2.0" [Search "missed call" in the marketplace]. Make sure you disable notifications from regular messaging when you turn on the Missed Call notifications, or you'll get them twice.