Miataking,
I replaced my tails with those LED conversions and like you said, they are a bit pricey but well worth it! I have also replaced all the marker lights with LED's including some very cool low profile cab markers that were intended for a new Ford truck. Of course in keeping with the blacked out theme of our MH we tinted all the lights as well
For the headlights you can easily find some very nice bright new ones for pretty cheep as they are from an Audi 5000. You can even fnd HID projectors on ebay!
Have fun!