The easiest way to tell which LED Christmas light is out is by visually inspecting the lights. If you notice that a particular light or set of lights is not shining as brightly as the rest, or if you see a dark spot in the light string, then that is likely the faulty LED light. If you have a multimeter, you can also use it to test the voltage across the faulty light, which will be lower than the voltage across the working lights.