The LED should have come with information about the forward voltage and current draw. You also need to know the voltage of the power supply you'll use to run them. Once you have that information, do a search online for an LED resistor calculator (there are quite a few available). Basically they calculate the correct resistor size in order to provide the right voltage and current to your LED. Pay attention to the resistor wattage specified!
If your power source is significantly higher than what the LED takes (for instance, a 12V source for a 2.1V LED) then you will be better off running a few LEDs in series. A scenario like this usually requires a 1/2W or larger resistor which are not only physically larger in size (if you have space constraints), but also more expensive and will generate a lot of heat. By placing 2-3 LEDs in series the resistor has to do less work so you can use common 1/4W resistors of smaller values.
It all comes down to ohms law V=IR Volts = amps times ohms Let us say I want to power one LED with a nine volt battery. One led uses .02 amps and 2 volts. Something you need to know. 2 volts is approximate some use up to 3 . 9 volts -2 = 7 volts & 7volts /.02 amps = 350 ohms Now 350 may not be a common resistor so you go larger to 360 or 390
One LED with a 360 ohm resistor will run on 9 volts.
I think 1/4 watt resistors would be plenty. for example with a 12v ps and running with 1k resistor the current is probably down to 0.01 amps which gives you 0.01*0.01*1000 watts or 0.1 watts. Be nice not to run the LED at their max current of around 20 MA as they will more than likely be way to bright. Best to do a little testing to see what you want, but more than likely 1/4 resistors will be fine.
LEDs come in a huge variety of shapes and sizes, and they all take different combinations of voltage and current. I've used some that only take 10mA, others (extremely high brightness!) that can take 100mA.
I generally start with the resistor value for maximum brightness on an LED, test it in the expected location, and see if I like it or not. Most times you will want to cut down the brightness, and as Lemonhawk says using a larger resistor will dim them and make the LED last virtually forever. On the other hand, if the LED isn't bright enough (like if I want a bright headlight in a loco) do NOT try using a lower-valued resistor or you will seriously cut short the life of the LED. Instead, you'll want to look online for some of the high-brightness LEDs.
If you want to compare LED intensity, the ones that use a higher voltage and/or current will generally be brighter. However keep in mind that different colors of LEDs, even comparing similar colors like cool-white and warm-white, will also take different voltages and current, so it's difficult to make brightness comparisons between colors.