LED has become more and more popular for use as light indicator because of its low cost and long life. Unfortunately the LED works only at low voltages and even then you need to use a resistor in series. It is not a good idea to limit the current at higher voltages using a resistor because the dissipated power will be too high and the resistor will burn.
You can use a LED at 220V by having a capacitor in series in order to limit the current. The advantage is that the capacitor will not heat up! The role of the zener diode is to protect the LED from high voltages. During the positive half-cycle D1 limits the voltage on LED and R1 at 2.7 Volts. During the negative half-cycle D1 acts like a normal diode preventing a high increase of the voltage. If we use a normal diode instead on the zener then the LED will be destroyed because of the high current.
Schematic of the LED powered at 220 Volts
The value of the capacitor must be according to the required current for LED. With a 100nF value the current will be around 4mA; with 470nF the current will be ~ 20mA. You can read more about X rated capacitors here.