Exterior "marker" lights are fine as long as they adhere to the colour regulations (white up front and red on the back). Think DRLs.
What's illegal is replacing your headlight dipped/main beam bulbs with LED or HID if they weren't specced/fitted at the factory. Retrofitting a proper HID projector (Morimoto or similar) into your headlight is illegal but it shouldn't be IMO. You could probably get away with it if your car has halogens but a higher specced model had HIDs and you swapped the whole headlight assembly over, but that's a grey area AKAIK. It's also quite a big job on some cars - I looked into it when I had my B5.5 Passat and W8 HID headlights bolted right on but you needed the ride height sensors for each wheel fitted as well and coded into the ECU to self-level the headlights.
You can fit some cheap LED strips on your front bumper or change out your interior lights, but those strip DRLs are usually awful quality and will fail or partially fail within 12 months.