Which LED's you using and source?
I've bought LED's from two places.
In the US
http://www.ledsupply.com/
From Australia
http://cutter.com.au/
I've bought battery's and chargers from Deal Extreme in China, and I've bought optics, switches, battery holders, and small parts from DigiKey. All have been good to deal with. You can get everything you need from Deal Extreme, when I built my first lights Cutter was the only one doing triple XP-G's in series on a 20mm pcb. My latest order was with Led Supply as I wanted things in a short time frame (but failed to complete the lights before the Kings). I think it took about 14 days total for my order to arrive from China with Deal Extreme.
Looks like the light you have is an XM-L. Are you positive it's the LED that is cooked and not the driver or battery? The LED's themselves are pretty robust. Double check the diameter of the star to make sure you get one that will fit.