Do you want to power many leds? You can with this setup have approximately 30 leds per arduino.
Fredrik made a circuit for arduino pwm (dimmer) for 10-15 leds. See image of circuit. To power the circut you need external power (5-12 v transformator ) that you connect to the black round power input on the arduino (left bellow usb). The external power in to arduino can beused from pin named «Vin» on Duemilla or 9 v on older arduinos (see red cable in image, connected further to + on the bread board). You will also need a transistor connected from one of the pwm pin 9, 10, or 11 (silver round with 3 legs, 2N2222). How to connect see schematics in second image:
Fredrik uses pwm pin 9 (white cable). A potentiometer connected to analogue 0 (zero) controls the resistance and dimming of all the leds). Fredrik recommends 10 leds per transistor and pwm channel. That means that you with 3 pwm channels can power approximataly 30 leds per arduino.
Schematics for circuit: