Even if the Lego trademark is so famous and very international, there is only a few number of "Lego" themed stamps.
First "Lego" stamp known was released in Denmark in 1989. Image show a Lego basic brick.
In November 1996, the Gibraltar Philatelic Bureau released 5 "Lego" stamps for Christmas designed by Keith Bassford. The stamps depict traditional Christmas items made up of Lego : 5p Christmas pudding (traditional in the UK), 21p Snowman, 24p Christmas gift, 34p Santa Claus and 54p Christmas candle.
Another "Lego" stamp was released in France last June for the Lego exposition "FanaBriques 2010". I will post an image of this very limited stamp very soon.
Update (January 4th 2011) :
The other Lego stamp I known is not an official release of La Poste but a personalized stamp made for the Lego exposition "FanaBriques 2010".