There are at least two types of LED displays.
- As explained by @Pete, a normal LCD-display with LED back-light instead of fluorescent tubes / strips. This is the kind you'll find in stores today.
- Displays with Red-Green-Blue LEDs without the "LCD" part. Sony just released TVs with this technology. It's comparable with OLEDs in that both generate the colours directly, without using "filters".
Both have benefits over "normal" LCDs, but an LED display is automatically much better than a more traditional LCD. Some LED displays use LED along the edge of the screen, and pretty much work exactly as fluorescent LCDs. Other LED displays have the LEDs scattered over the whole display surface, behind the LCD panel. This makes it possible to have different brightness for different regions of the display.
The full on (O)LED displays will allow pixels to be completely black (turned off) while the neighbour pixel can be bright "white". This will allow for a much higher dynamic range in the display.