At first glance the RGB LED Module looks trivial: it's an LED on a PCB, right? Look closer though and you'll see that it's far more than that.
It uses a high-brightness RGB (Red/Green/Blue) LED, which means that you can generate all the colours of the rainbow. On the back of the board it includes a WS2801 constant-current multi-channel LED driver with built-in PWM (Pulse-Width Modulation) outputs, allowing you to set different brightness levels on each output independently and have them hold that illumination level without requiring any PWM outputs from your microcontroller.
Cooler still, the WS2801 can be daisy-chained so that you can serially address a whole row of RGB LED modules off just two digital I/O lines from your Arduino.
Check out the details including example source code to drive it from an Arduino in the RGB LED Quickstart Guide.