This is what we did. We bought the lights on ebay for super cheap to use for our display. The nice thing with the battery operated ones is that you can choose to turn them on whenever you want to look at them. Most people are afraid of ruining the cells with lights, but who is really going to leave the lights on 24/7? The pins are so nice by themselves that they don't need to be lit up all the time, only when you're showing someone or want to admire them yourself.
We started out by stapling the lights to the backboard of our display, which took a lot of time and a steady hand (if you puncture the wire, your lights are history). When I got the brighter lights for my display I decided to be lazy and tape the lights down. The strand of lights I got had 30 lights on it, so I bundled 3 lights together behind each cell (one light just isn't bright enough). You also have to put some kind of paper behind the cell or else you see the lights when you're trying to look at it lit up.
You can see our finished display on our show room thread:
http://disneypinforum.com/showthrea...y-Movies-scenes!-Updated-with-2012!-IMG-HEAVY
One last bit of advice when you buy the lights... DO NOT GET WARM WHITE LIGHTS!!!!! These are NOT bright enough! Make sure you get PURE WHITE or COOL WHITE, as those are much brighter!