Let's try to control LEDs from the PCI Express bus.

Xilinx's "Endpoint Block Plus" core allows us to work at the transaction layer level, so it's just going to take us a few lines of code.
Instead of providing data on a 32-bit bus, "Endpoint Block Plus" uses a 64-bit bus (so we get twice as much data at each clock cycle). That's not a problem and a simple state-machine will handle simple memory reads & writes.

// we use signals from Xilinx's "Endpoint Block Plus"
// first we declare that we are always ready to get data
assign trn_rdst_rdy_n = 1'b0;

// then we create a state machine that triggers when we get a PCI Express memory read or write
reg RXstate;
reg [63:0] RXrd;
always @(posedge clk)
case(RXstate)
    // we are going to handle simple memory reads & writes
    // we know that with the "Endpoint Block Plus" core, such simple transactions always happens 
    //  using two cycles so we just need a two-states state machine
    // first, we wait for the beginning of a memory transaction with up to 32-bit data (i.e. with length=1)
    1'b0: if(~trn_rsrc_rdy_n && ~trn_rsof_n && trn_rd[61:56]==6'b0_00000 && trn_rd[41:32]==10'h001)
    begin 
    	RXstate <= 1'b1;
    	RXrd <= trn_rd;
    end
    // then the second state waits for the end of the transaction
    1'b1: if(~trn_rsrc_rdy_n) RXstate <= 1'b0;
endcase

Now we are ready to update the LEDs.

wire [31:0] RXaddr = trn_rd[63:32];   // memory address (read or write) (valid during the second state of the state machine)
wire [31:0] RXdata = trn_rd[31:0];   // memory data (for a write) (valid during the second state of the state machine)

wire RXrdwr = RXrd[62];  // 0 for a read, 1 for a write
wire RXRead = ~trn_rsrc_rdy_n & RXstate & ~RXrdwr;	// true when a read is happening
wire RXwrite = ~trn_rsrc_rdy_n & RXstate & RXrdwr;	// true when a write is happening

// update two LEDs using the two LSBs from the data written
reg [1:0] LEDs;
always @(posedge clk) if(RXwrite) LEDs <= RXdata[1:0];

For a memory write, that's all there is to it. For a memory read, you need to create a response packet with the data to return. Generating an interrupt is also very easy - just assert a signal called "cfg_interrupt_n".

Want more? Check Dragon-E's startup-kit for a more complete example, and Xilinx's UG341 Endpoint Block Plus specification documentation for a description of all the signals.

Have fun with PCI Express!