Any devices that are USB powered should be no problem here - with those that have an external power source some LED is normal to show that power is available.
What you could look at is a "green" power strip, this will power off all devices attached to it when the master device, the PC, is not drawing current.
"Smart" Power Strips: Helping to Stop Idle Current Now! : TreeHugger
I want it to just power off automatically. !