The lights are small strings of battery powered LED lights that I bought from Walgreens for $3.33. They're meant to put on wreaths. I have one side on each side of the rear triangle attached with electrical tape.
If you put the lights on the chainstays like I did, be very careful the wires and lights won't get into any moving parts, including brakes, shifters and cables. Note also that many (most?) people strike their heel on the chainstay so arrange your lights accordingly. Be sure also that you can still remove your wheel for flat repairs -- you don't want to wrap any wires around the hub nut or quick release skewer.
If you can't find the lights at your local megamart, there's a good deal at DealExtreme: a string of 30 LED lights for $6.82 including 2 to 3 day shipping.
All I need now is a portable Star of Bethlehem hovering over me as I ride and I'll be very visible!
Here's the drive side -- the lights are arranged slightly differently.
Merry Christmas, all!