This is the idea as shown in this flickr video:
http://www.flickr.com/photos/barnybug/2604903353/

The Arduino is connected to the CurrentCost data on pin 2.
It uses the led on pin 13 (by default the built-in led on the board) to indicated receiving data and then externally connected coloured leds on pins 9-12 for the actual meter.

This is the sketch for the Arduino. You can adjust the watt levels that trigger the leds or add or reduce the number of leds used easily.
It could be easily adapter to output the watt values on the USB serial out, for example.
Have fun!
/*
* CurrentCost serial reader
*
* BG / 23rd June 2008
*/

#include <SoftwareSerial.h>

#define rxPin 2
#define ledPin 13

SoftwareSerial mySerial = SoftwareSerial(rxPin, 3);
byte pinState = 0;
char startPattern[] = "<ch1><watts>";
char endPattern[] = "<";
int state = 0;
int pos = 0;
int power = 0;
int wattLevels[] = { 0, 200, 400, 800, 2000, 99999999 };
int wattPins[] = { 12, 11, 10, 9, 8 };

void setup()
{
Serial.begin(9600);

pinMode(rxPin, INPUT);
pinMode(ledPin, OUTPUT);

for (int i = 0; i < 5; ++i)
pinMode(wattPins[i], OUTPUT);

mySerial.begin(2400);
}

byte readByte = 0xFF;

void loop()
{
readByte = mySerial.read();
if (readByte == 0xFF) {
digitalWrite(ledPin, LOW);

}
else {
Serial.print(readByte, BYTE);
gotByte();
digitalWrite(ledPin, HIGH);
}
}

void gotByte() {
if (state == 0) {
if (readByte == startPattern[pos]) {
++pos;
if (startPattern[pos] == 0) {
// finished matching start pattern
++state;
power = 0;
}
}
else {
pos = 0;
}
}
else if (state == 1) {
if (readByte == endPattern[0]) {

// finished reading power
// light up lights
int i = 0;
while (wattLevels[i] < power) {
digitalWrite(wattPins[i], HIGH);
++i;
}

// and clear remaining
while (i < 5) {
digitalWrite(wattPins[i], LOW);
++i;
}

state = 0;
}
else {
// read another digit
power = power * 10 + readByte - '0';
}
}


}