Keegan from KSplice built this project which measures CPU load using an ammeter, Arduino and a resistor and some code. Basically, he runs a Python script on the Linux box which communicates load info via USB to the Arduino, which in turn displays the relative load on the analog ammeter.
You can get the Arduino sketch, Python script and other details at KSplice.
Nice project! I just built a multi-purpose LCD display that could be used to measure CPU load and other system statistics (http://www.kerrywong.com/2011/06/27/building-an-auxiliary-display/). I used a shell script on the server side and used a C program to send the information over the serial port to an ATmgea328 microcontroller. You can scroll all the way down to the pictures.