Adding Debug LEDs to PCB
The question is a bit general to be able to answer very well, but it isn't a bad one, in fact. I can make some suggestions.

First off it depends where I am in the design cycle. Early prototypes typically get more debug LEDs. Many might get removed as the design progresses.

Every power rail usually gets its own indicator LED. For these I typically use a LED with a series resistor and a zener, so that even if the rail is low the LED dies. For instance, on a 12V rail I would use something like a 9V1 zener and 470R with the LED.

For the rest it depends rather heavily on the type of circuit. Anything with a microcontroller usually has a LED to show the device is running, and i will often add a few unassigned LEDs if there are IO pins to spare.

I don't usually put debug LEDs on actual digital or analogue signals, unless they really say something very useful about the circuit state, or they are there for the user anyway (for instance a "SIG" or "OVERLOAD" led in an audio chain). For these I usually prefer test points. 

As a general guideline, you need at least 1 or 2mA for a LED to be visible, and of course the effect of loading needs to be taken into account. As you say, a transistor could be added if needed. At this point though, I would ask myself how necessary this is.

Hope that helps.