everything on my explorer minus my front turn signals, markers and headlights are LED. The turns and markers will be LED as soon as I finish my new front fascia. The explorer I gave to my ex also uses all LED lights.
As far as headlights go..... You of course already know there is no legal way to put LEDs in place of your stock halogens, so oh well. For a person with a 1st gen, they do have the option of getting an E-spec headlight assembly that use rectangle replacement bulb. JW Speaker makes a rectangle LED bulb that is DOT legal for around $400 a side.... but yeah... I digress... it doesn't really apply to you. Since I am converting to round headlights, I might go with their round headlight replacement or Truck-Lites round LED headlight replacement some day, but idk.
LEDs (good ones) will outlast your vehicle, and they make very little heat. Unfortunately, LEDs can't handle a lot of heat either, so for high power arrays you need some way to dissipate heat, but for your purposes, you shouldn't have to worry about it much.
LED tails, especially brake lights are a good investment IMO. LEDs light up many times faster than an incandescent bulb, so that is a good safety feature. As for bulbs.... well, honestly, most PNP bulbs suck, even some of the more expensive ones. You see them all over the place with a couple dozen LEDs or SMDs on them to try and make enough brightness, but without the wattage, you just aren't gonna get the lumens out of them you need. High wattage = high heat. So, I will recommend a PNP replacement bulb, though it is pretty spendy, even the 3 watt version is as bright as a good stock bulb.
http://www.elef-usa.com Buy those bulbs, they will last forever and be as bright as you could ever ask for. Or, buy cheaper ones on Ebay, replace them in a few months to a couple years. You could also buy from some of the more reputable LED sellers, and they will last a couple years too I guess.....
Just to get it out there though, I am in no way connected with elef-usa, so I don't have anything to gain by you purchasing from them or one of their competitors. I am only recommending them because they are FRIGGEN AWESOME! Honestly, the bulbs aren't true plug and play...... but, it doesn't take much to put them in, they are kinda designed to be universal in a way....
What is sometimes a better option if you are good with electronics is to make your own array by taking apart your taillight assembly and making a board to fit the housing. You can usually get a lot more brightness out of those than you can PNP replacements, since you can run higher wattage, but you have plenty of surface area for heat dissipation. HIDPlanet's forum has a good section for LEDs where you can learn a lot about making your own boards if you are interested in that.