Light up multiple LEDs with standard Arduino Uno
Probably the simple answer is to use 63 8-bit shift registers, with a LED and resistor attached to each shift register output pin. There are many good examples of using shift registers to add output ports on the internet.

The shift register solution will let you turn on just one LED at a time, or if your power supply can stand it, all 500 at once.

This question shows how to go about the expansion Is there a way to have more than 14 Output pins on arduino?
It also gives some other valid options.