Surface Mount LEDs

For N scale I would look for SMD (surface mount) LED's in sizes 0402 or 0603.  If you are not proficient with a soldering iron and magnifying glass, I would look for the ones with leads already attached.

Here is one supplier. These appear to be larger than 0603 though at 3.3mm X 1.6mm.

http://www.modeltrainsoftware.com/smd-chip-leds.html

According to the datasheets, 0603 LEDs are 1.6mm X .8mm and 0402 are 1mm X ,5mm.

These can be found on eBay as well, but there may be other hobby suppliers carrying them.

A couple things

One is using fibre optics, which there have been several discussion threads somewhere on here (search "fibre optics" in the search box).  I haven't tried the fibre optic route yet, but it does have some limitations (like it is very directional and catwalk lights should cover a wider area).  You may be able to "flare" the end of the fibre to get a wider light, but I haven't done it.  

The other option is what I'm most likely to do - SMD's (surface mount LED's).  These are very small lights, sold by many of MRH's sponsors (I got mine from Litchfield Station).  You can use them in locos for ditch lights or any light, and you can use them for N scale lighting on walkways, etc.  I can't find them on Litchfield's website with a quick search now, but they are made by Richmond Controls.  I bought the pre-wired ones as its just way easier to work with.

Kevin beat me to it.

But here is the link to Richmond Controls - on the left hand side go to LED's link and it explains all about the different options.