Second person to come and ask about the same thing... i wonder if there's some online course or university out there giving this as a summer project/exam/homework.
Anyway.. to make it easier to do it, usually you split the project in several parts
make something that can light up several leds independent of each other - a microcontroller comes to mind
decide on a method of communication between the microcontroller and the phone ... you want it wireless but that can mean several things : wifi (regular internet) , bluetooth , could even be infrared if the particular phone has such a feature (to be used as universal remote control)..
Depending on what you choose, you have to find a microcontroller or something that has that feature either built in or find if there's an 'extension' which would add support for that.
For example, in the case of Arduino, there are "shields" which add bluetooth or wireless network card support.
Next, get the microcontroller (pic, ms430, arduino which is attiny/atmega) and read the documentation , then get the 'extensions' or build them yourself and read the documentation on how to get the microcontroller talk to that 'extension'.
Next, depending on what you choose to work with, read about how to program on phones. With bluetooth, you have to learn how to write a program that turns on the bluetooth part of your phone, makes it connect to the bluetooth extension of your microcontroller and send commands between them.
If you have the microcontroller with a wireless network card, you could control the microcontroller from a simple web browser on your phone, so you don't need to learn complex programming.
You could just enter in browser
http://microcontroller_ip/led/on/1,3,5 to light up leds 1,3 and 5