First off, I should explain that I'm not a licenced electrician, and you should follow the advice of the licenced electricians in here over mine, cuz they know what they're talking about, and I don't.
LED lights are available, and apparantly Home Depot sells them. The problem is compact fluorescent bulbs are stealing their thunder.
You see, if you pay 10 cents per killowatt hour, a 40 watt incandescent bulb will cost you about $48 per year to operate, whereas a 7 watt compact fluorescent will cost you about $10.
Now, along come LED bulbs that cost $40 or so for a 5 watt bulb that'll be about the equivalent light output as a 40 watt incandescent. It'll only cost you 6 dollars per year to operate. You're saving a lot of money compared to using incandescent bulbs, but not compared to CFL's. Compared to a $2.50 7 watt CFL, you're only saving about $4 per year. That means you only break even after 10 years by replacing a CFL with an LED. Maybe a bit earlier than that if you consider that LED's last longer than CFLs so you might have had to replace the CFL once or even twice during that time.
http://www.ledlights.ca/newLEDlights.php
It requires one "AA" or "double A" cell battery. The most common kind of battery.
General LED Lighting Solutions, EvoLux
When I wired a parking fence I built to provide electricity for tenants to plug in their cars in winter, I used a flexible electrical conduit to go from the fence to the building because the two would move relative to one another. The fence would move up and down with frost heave, whereas the building would move much less. I put one fence post right beside the building (about a foot away) and had the fence itself stop about an inch from the building. The flexible electrical conduit spans that 1 inch gap between the fence and building. Basically, it was a hollow flexible aluminum tubing (similar to empty BX cable) with a rubber jacket over it. You stuck weatherproof connectors on both ends to connect to regular rigid aluminum conduit. I really don't know if that stuff was OK to use underground or not, tho. Any electrical wholesaler will show you the stuff I'm talking about, and would probably know if it's OK to use underground. That would be one way to accomodate movement of the house relative to the wiring.
If you dig up around your foundation wall, I expect you'll probably find that the wiring is caulked around the hole it enters with roofing cement. You can buy roofing cement in 300 ml tubes suitable for use in a caulking gun. Roofing cement is black and looks like tar. Or, at least, that's probably what I'd use to caulk an underground hole in concrete block.
Also, almost certainly your yard lights are all wired in parallel. If they were in series, then any one bulb burning out would break the circuit to all the others, causing them to stop lighting as well. If you do decide to dig up the wiring from the one light that isn't working, you might want to invest in an AC voltage detector like this one:
http://www.sjdiscounttools.com/ampvp600sb.html
For $15 or so, it flashes and beeps whenever the tip is within about 1/4 inch of a 120 VAC voltage source, EVEN IF THERE IS NO CURRENT in the circuit. So, for instance, if you have an extension cord with a break in the wire somewhere along the length of that cord, this voltage detector will tell you where the break in the wire is. It'll stop flashing and beeping at the point where the wire no longer has an AC voltage in it, which is the point where the wire is broken.
I'm thinking that if one of the wires was cut by a shovel during landscaping, then the damage to the wire will be obvious. However, if the wiring was encased in a trench and covered with a piece of dimensional lumber (like a 2X10), then the break in the circuit might not be obvious. It might in fact be a piece of wire insulation inside a wire nut that's not allowing one wire to be in contact with the others. This $15 tool will allow you to detect where you have power in the wiring, and where you don't, without handling or cutting into the wiring.