For the front panel of a case, you will usually have two led wire pairs. One for the hard drive activity, and the other for the power on state light. One should be labeled PWR LED and the other HDD LED. When you connect them up, the +/- polarity matters. If you get them backward, the led will not light, but no harm is done. Just reverse them.
Fans often come with two different connectors. A 4 pin molex connector, and a 3 pin smaller motherboard fan connector. You can use either, but only one at a time.
If you use the 4 pin molex connector, the fan will run at full speed all the time. If you plug the three pin into the motherboard, the fan speed can be monitored and controlled y software such as speedfan.
The purpose of both a female and male connector on the fan is so you can daisy chain them to a single molex power lead from the psu.