Extreme Newbie asking about playing around with MIDI

KE7GKP:
Do you know how MIDI works? Do you know about Note-On and Note-Off messages? What about velocity and after-touch? Do you have a clear idea of WHAT you want to do? If you can form a clear notion of WHAT, it will be much easier to implement HOW. Regardless of whether you are using Arduino or any other similar method.

Midi - Wikipedia

Thanks for the link. Now I know about the MIDI more (which is similar to what I think before, firing messages on, off that contains a loud/soft (which is velocity technically) etc.). I do own a digital keyboard and do have a rough idea of these electronic music work.

Okay, here's what I want to do.
I want to get an MIDI, fires messages to a controller, which will in turn allow me to perform some actions based on the information from the MIDI. This could come in a form of lighting LED up (by passing current through) or some physical actions. My first attempt should allow it to be able to understand velocity, creating an effect out of loud and soft.
I believe it is possible, but I do not know where could I start. I read about some coding related to MIDI and Arduino and they don't seem too complicated for me yet.

Please advise.