Adding open indictator light to my zone valves

You can tell by the control wiring it is 24V. I would check local electrical supply store (for contractors) and see if they have or can order 24V LED's with pigtails (leads) or any indicator lamp for that matter but LED's wont burn out. Then I would just wire them to the two contacts that are energized when the zone valve is open... either use a meter or look for an electrical diagram on the valve.

I can't remember the brand of my relay box, but it has a light that indicates which of 6 zones are 'on'.

You might want to consider using temp sensors instead of just on/off switches. A number of folks on the forum have done lots of slick things, and had good results with them (just search on sensors). I haven't used them myself because everything is compact with my boilers, and so all I need are the inexpensive "frothing" thermometers attached to the zone pipes (along with a bunch of others). I can tell you for certain that you can learn lots of things about your system by observing the various temps. For me this has resulted in being able to make helpful changes, solely based on studying those temps.

You can just take a standard LED and a resistor (about 3K ohm should be about right) and connect them in series across the motor terminals.

Great place for LED.
http://www.superbrightleds.com/
Rob

I think that the indicators really help a lot when you are trying to understans what is going on in the system. In your case they will only tell that your system is calling for the zone valve.
When I do a custom panel, I get zone valves with an end switch. I use the end switch to light another LED to show the valva actuated. In the control panel I line up the lights so you can see if the system is calling, AND the verification that the zone valve operated, or maybe its stuck on.
Here is a penel that I did with 16 heating zones, 3 loop temps, and a Tekmar control. I also built the air conditioning control into the panel as well.